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Practical Asset/Liability Modeling for CMOs
relatively fiat yield curve environment. It has 17 tranches, far below the greatest number I have seen ... level-prepayment scenarios. You can see (Chart 17) that, in a base case assumption of 165% PSA, there ...- Authors: Randall Boushek, David A Hall
- Date: Jan 1991
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Finance & Investments>Asset liability management; Finance & Investments>Investments
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CMO Boot Camp: In the Tranches
slow prepayment sp,~l. In the next example (Chart 17), you can see what the overlay of a "90-300% PAC" ... (outside the protected collar). 144 .CHART 17 Simple PAC Structure Building a 90-300% PSA PAC ...- Authors: Randall Boushek, David A Hall
- Date: Jan 1991
- Competency: External Forces & Industry Knowledge
- Topics: Finance & Investments>Investments