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noel

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tT
发表于 2011-7-13 15:23 | 只看该作者

1 Q - Fixed Income

principal, scheduled, mortgage, balance, payment
The single-monthly mortality rate (SMM) is equal to 0.003.
The mortgage balance for March is $250 million.
The scheduled principal payment is $3 million in March, and $3 million in April.

Calculate April's estimated prepayment.
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ap0258

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2#
发表于 2011-7-13 15:23 | 只看该作者
(250-3)x0.003 = $0.741million for march prepayment

So opening balance of april = $246.259

April prepayment = $(246.259-3)x0.003 = $0.7297

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OmarAdnan

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3#
发表于 2011-7-13 15:23 | 只看该作者
March:

Prepayment = SMM * (Balance - Scheduled Principal) = 0.003 * (250m - 3m) = 0.741m

April:

Opening Balance = 250m - 3m - 0.741m = 246.259m

Prepayment = 0.003 * (246.259m - 3m) = 0.729m

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Analyze_This

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4#
发表于 2011-7-13 15:23 | 只看该作者
We are assuming the same SMM? Should'nt the SMM increase based on the number of months seasoning and PSA. Unless 30 months are already over, we cannot use the same SMM for march and april. Right?

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RMontgomery

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5#
发表于 2011-7-13 15:23 | 只看该作者
rpradeephere Wrote:
-------------------------------------------------------
> We are assuming the same SMM? Should'nt the SMM
> increase based on the number of months seasoning
> and PSA. Unless 30 months are already over, we
> cannot use the same SMM for march and april.
> Right?

Technically we should not. But there is no other information provided in the question.

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