Reading 57: Mortgage Backed Securities
Page 57
Problem 6
How does the author derive the CPR figure from the PSA?
Thanks.作者: wilslm 时间: 2011-7-11 19:57
Figured it out.
CPR = (Month * .2%) to a max of 6% * (PSA/100)作者: random_walker47 时间: 2011-7-11 19:57
easier way than remembering that formula: 2% per month, for say 12 months= 2.4%, and say we are using 150 PSA, then just 2.4*1.5= 3.6%作者: yalo 时间: 2011-7-11 19:57
^ if thats how you guys do math up in Boston I am going to your local bank to get a loan at 2% per month and end up paying 2.4% a year
lol, @#$%&作者: ayodayo 时间: 2011-7-11 19:57
three general formulas used for CPR
CPR = 6% x n/30 x (PSA/100) n = number of months left to maturity
lol ya i kept it in regular percentages to avoid confusion...you will still get the right answer. Or you could just do it the correct way. Easier to remember though.
gulfcfa Wrote:
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> ^ if thats how you guys do math up in Boston I am
> going to your local bank to get a loan at 2% per
> month and end up paying 2.4% a year
>
> lol, @#$%&作者: Houjichasan 时间: 2011-7-11 19:57
Let me draw your attention on this point:
Beware when the pool of loans is seasoned so as to adjust the PSA calculation.作者: madaochenggong 时间: 2011-7-11 19:57
sure bilal, i thought by payment you ment schedualed principle payment
no mistake on your side, just a wrrong assumption on mine 作者: comp_sci_kid 时间: 2011-7-11 19:57
