ryanlb

Let me rephrase the above post (my edit time expired).

If the actual prepayment is inside the collar, say PSA 200, the PAC I participant receives the minimum amount (PSA 90 or 300 as the case may be). In that case, the support tranche absorbs the contraction. Right?

If the prepayment is outside the collar, the PAC tranche absorbs the contraction or the extension, right?

What would be an example where the support tranche absorbs the extension?

- Robert