Use this procedure to define prepayment assumptions using the PSA Prepayment method.
Performing basic steps for creating or updating a Prepayment rule.
1. Select the Start Origination Date using the date picker. Alternatively, you can enter the Start Origination Date in the space provided.
Note The first cell in the Start Origination Date column and all of the cells in the End Origination Date column are read only. This ensures that all possible origination dates have supporting reference values when Prepayment assumption lookups occur. Each row in the End Origination Date column is filled in by the system when you click Add Row or save the rule. |
The first Start Origination Date (in row 1) has a default value of January 1, 1900. When you enter a Start Origination Date in the next row, the system inserts a date that is a day prior to the previous End Origination Date field.
2. Enter the PSA speed that you want to apply to the instruments having origination dates in a particular Start Origination-End Origination Date range. The PSA method is based on a standard PSA curve. You can view the seeded model by selecting the View Details icon.
Note The default value is 100 PSA and inputs can range from 0 to 1667. |
3. Click Add Row to add additional rows and click the corresponding Delete icon to delete a row. You can add as many rows in this table as you require. However you need to enter relevant parameters for each new row.
4. You can also use the Excel import/export feature to add the Prepayment rate information.
5. Define Seasonality assumptions as required to model date specific adjustments to the annual prepayment rate. Inputs act as a multiplier, For example, an input of 2 will double the prepayment rate in the indicated month.