Modelling pre-payments

< 1 min read Defaults These are full involuntary prepayments which arise when the borrower is unable to make loan payments. The loan is

4 mins read Refinancing There are two types of refinancing, cash-out refinancing and rate refinancing. These constitute the largest source of prepayments. Cash

3 mins read Prepayments In the model above we have assumed that prepayments are at 100% of PSA. Expressing prepayments in terms of

2 mins read Valuation of Mortgage Backed Securities Valuation of Mortgage Backed Securities is a complex process with multiple layers. We start with