SMM= prepayment of period n/(beginning balance of period n- scheduled principal payment of period n) je fais*12 si j le mme montant total

l'année; sinon je fais la somme or SMM= 1-(1-CPR)^1/12 I Conditional prepayment rate = prepayment rate expressed as an annual rate for
long term asset CPR= 1-(1-SMM)^12 I Public Securities Association : series of monthly prepayment rates for a 30-yearmortgage, PSA of CPR=
6%*t/30 for month t. it's a monthly series of CPRs Absolute prepayment Speed : for shorter term assets( like auto loans) , larger amounts of
principal are paid faster= increasing prepayment rate as the pool seasons. ABS= 100*SMM (100+SMM*(n-1)) ; A 5% CPR means that 5% of the
pool's outstanding loan balance pool is likely to prepay over the next year. Prépaiement est plus élevé, donc pp est plus important cpr est plus
élevé, donc cette affaire est plus intéressante. Future value=present value(1+i)^n Curtailement : je fais un remboursement, et ce
remboursement dépasse le minimum qui est prévu. Il peut être une partie du prépaiement. Si je paie la totalité de la balance initiale, ce n'est
plus un curtailement. Refinancing: financer le 1er par un deuxième moins cher. Seasoning: (original term)- (remaining term), prepayment and
loss amount will heavily rely on the seasoning. Si je rajoute un pool, un loan nv à l'ancienne valeur, le seasoning peut augmenter CPR :a une
nature annuel équivalent au taux mensuel SMM… Ex :12% annuel, à capitalisation mensuelle : 1(1+1%)^12=1(1+i e)1 ; Donc i de e =
(1+1%)^12-1=12.68%. On n'est pas censé faire la somme d'argent sur des périodes différents, comment je sais combien d'intérêt je rate, je
vais faire un tableau d'amo et sommer les intérêts. PP curves based on historical pp (vintage analysis). Increasing & decreasing trend. Present
Value: Pmt * a of mit = annuité*(1-(1+10%/12) ^-100 / 10%/12 ). Ici j’avais 100 période restante. Annuité : (k*i)/(1-(1+i)^-n) , avec n c toute la
période, et i est mensuelle donc divisé par 12. ; Pay faster, ES is reduced. ; What is the purpose of the rep line? Plus ils sont hétérogènes plus
on aura une différence entre le rep line et ceux des agrégations. EN baissant le nombre du paiement, la valeur du paiement augmente. Si je ne
suis pas risquophobe ; actual prepayment higher then the prepayement rate. Actual means no prepayment. En cas de: no pp cédulé , pp rate
of period t=pp/beguining balance of the period ¨(t-1). Loss expectations can change depending on the time it takes to classify an obligor as a
default. The comparison between delinquency & balance is only within the vintage under analysis. Weighted average : La somme des
multiplication des deux curves le tout divided par la somme totale des balances .it is the minimum amount a company needs to return the
company Gross loss = amount of loan balance that are assumed to remain unpaid; Net loss = gross loss – recovery; Default expectations for a
pool of assets can be assumed from historical data; % loss = loss per period / origination amount for a specific origination (original balance) ;
Severity = final cumulative loss percent per vintage- % original balance of a particular vintage , assumed to be defaulted and uncollectible. It is
the highest level of damage possible when an accident occurs from a particular hazard. Timing = % loss taken by a certain point in
time, ending at the final maturity of the assets. timing of loss for period = cumulative loss % in period / final cumulative loss%(maturity).
Standard default assumption= SDA. Front-loaded: loss take place quickly >asset will erode quickly > excess spread decrease (first source of
protection against loss), front loaded curve vs regular curve requires more enhancement, cad majorité de tes pertes tu les a subit en premier.
back loaded: enhancement needs to be sized and kept for those periods; loss take place near the end of the tenor of the assets. not amort
ratio: current amort factor / prior amort factor. Amort factor = current notional balance / original notional balance. Voluntary prepay = BB *
notional amortization ratio*prepay rate. voluntary prepay<= BB - default amount (defaulted loan will not voluntary prepay).Projecting Loss
Curves: adjust newer vintages to account for trending= monthly loss vintage that is not complete needs to be extrapolated. Projected
Loss=Expected Loss*Projected Timing Loss. Loss to be distributed=1-Loss% Taken. Loss Sev. Taken=%Loss taken for each vintage. Expected
Loss= Loss sev taken/Loss % taken. Same loss severity if vintage took 100%. Sinon 4aytle3. Day factor est la différence entre deux dates
successives cad quel est le nbr de jours qui se sont écoulé. Day factor rate= (today - last day)/ 360 ; Je calcule le taux périodique semestrielle,
puis je cherche le taux équivalent mensuelle équivalent à un taux semestriel. Plus j'ajoute des capitalisations plus ça va me couter plus cher. Pp
Amort of t= SMM of t * ( BB of t - SP of t ). SDA =Standard default assumption. Wac weighted average coupon; it is weighted average for rep
line; Wam weighted average maturity = Weighted average term dans le rep line. Default Rate= delinquency t / balance t-1. Le minimum entre
le due et le cf est le paid. Remaining is cf-paid. N'associe pas recovery à un montant de perte. Recovery rate is diff between new default and
principal recovery. Assumption: pp and default, recovery rate. Default rate >> default amount = Original balance*default rate. Reset
frequency: date quand je mets le compte à zéro. Xs=interest- (fees+interest of investors). The term lifetime cap refers to the maximum
interest rate allowable on an ARM. Adjustable-rate Mortgage= usually used Home Loans. Current balance is le solde de la période
en question. Pp rate = pp de t/ (bb -sp). Pp t = pr ( bb - sp) which is Bb-schedueled principal = pr *bb(1-sp/bb) ex : 99126=100%*100000(1-
439.06/100000) ; prepay is always the min , it can be either pp amount itself or the bb-default; Différence devient de plus en plus importante
sera en fin de période , pk car c un amo dég. Amo factor of t = current notional balance/ bb ; notional amortization ratio= amort factor de t /
amort factor of t-1. Recovery amount=lagged Default Amount*recovery rate. Actual Amo =(bb-default amount)*(1-notional amo ratio); Actual
interest = Interest rate*Day factor *(Beginning Balance - Default amount). Cap is operation de min; Floor le max; Ending Balance = Beginning
Balance - Default Amount - Voluntary prepayment + Actual Amortization. hedging for l'emprunteur,il ne veut pas apyer un taux trop élevé
Never ever the interest rate would exceed the original rate. Credit enhancement (CE) to protect an investor against loss, avec obj de protéger
l'investisseur, améliorer donc le rating des securities. Cash flow available = voluntary prepayment + actual amortization + actual interest +
recovery amount. Liability structure: pass through is single tranche, pay through is multiple tranches, revolving: principal repaid is reinvested
in new assets rather than being distributed to bond holders periodically.