An example of a price/yield table is shown in Table 5.12. For a given tranche, a price, and a set of loss and prepay speed assumptions, the table shows the yields and other various statistics. The table can be extended/shrunk by specifying different losses and speeds. The PSA collateral cash flow model is used. An additional way to generate the table is to specify the yield and generate the prices. Extend your model to generate this type of table.
TABLE 5.12 Typical Price/Yield Table (Loss vs. Prepayment Rate)
|
100% CPR |
120% CPR |
||
|
0% Loss |
Avga Life |
4.31 |
3.35 |
|
First Pay |
25-Mar-08 |
25-May-07 |
|
|
Last Pay |
25-Mar-09 |
25-Feb-08 |
|
|
Window |
46-58 |
36-45 |
|
|
Yield |
1.637% |
1.637% |
|
|
Price |
100 |
100 |
|
|
5% Loss |
Avg Life |
4.05 |
3.2 |
|
First Pay |
25-Jan-08 |
25-Apr-07 |
|
|
Last Pay |
25-Nov-08 |
25-Dec-07 |
|
|
Window |
44-54 |
35-43 |
|
|
Yield |
1.637% |
1.637% |
|
|
Price |
100.00 |
100.00 |
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