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标题: 1 Q - Fixed Income [打印本页]

作者: noel 时间: 2011-7-13 15:23 标题: 1 Q - Fixed Income

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.

作者: ap0258 时间: 2011-7-13 15:23

(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

作者: OmarAdnan 时间: 2011-7-13 15:23

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

作者: Analyze_This 时间: 2011-7-13 15:23

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?

作者: RMontgomery 时间: 2011-7-13 15:23

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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