Question: Suppose that the following values for a RMBS are correct for each assumption: PSA Assumption Value of Security 192 112.10 194 111.80 200 111.20 202

Suppose that the following values for a RMBS are correct for each assumption:

PSA Assumption

Value of Security

192

112.10

194

111.80

200

111.20

202

111.05

210

110.70

Assuming that the value of the security in the market is 111.20 based on 200 PSA. What is the prepayment sensitivity of this security?

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