tailieunhanh - modeling structured finance cash flows with microsoft excel a step by step guide phần 4

Đó là tài sản đòi hỏi phải dự trả trước giống như các tài sản được sử dụng để tạo ra các đường cong thanh toán trả trước dự. Điều này có thể âm thanh như logic đơn giản, nhưng nếu các loại tài sản cho vay thế chấp ví dụ và các dữ liệu trả trước lịch sử được tạo ra thế chấp lãi suất cố định, | Prepayments 47 A B c D E F G H 1 J K L 1 Prepayment A raJysis 2 3 Monthly SMM 4 5 Originations 6 Jan-04 Feb-04 Mar-04 Apr4 4 May 4 4 Ju 11-04 Ju 1-04 Aug 4 4 Sep-04 Oct-04 7 Periods Out 0 8 1 9 2 10 3 11 4 12 5 13 G 14 7 15 8 15 9 17 10 FIGURE A standard analysis of prepayment rates is completed by tracking each origination period separately over time. 1. That the assets requiring prepayment projections are the same as the assets used to create the projected prepayment curve. This might sound like simple logic but if the asset class is for example mortgages and the historical prepayment data is generated off of fixed rate mortgages the prepayment curve calculated should only be used for fixed rate mortgages from that company. This distinction should even be as granular as the precise type of mortgage since prepayment rates for mortgages are very particular to the type of product. 2. That there is no significant trend in the prepayment rates. If a noticeable increasing or decreasing trend is apparent in the historical prepayment rates and this trend is expected to maintain it should be accounted for in the projected curve. Sometimes a shift in market focus origination process or economic environment causes such a trend which could affect future prepayment performance. 3. While more complex than this text will demonstrate in the examples a consideration for any prepayment curve should be interest rates. Prepayment behavior is closely linked to interest rates. A simple .