Footnotes ― Observations from Portfolio Accounting and Analytics


Julie Wiklund
Prepayments Under the Yield Book Prepayment Model

Prepayment speeds are a key determinant in calculating the cash flows andtherefore the yield and average life of mortgage-backed securities (MBS)and collateralized mortgage obligation (CMO) securities. FTN Financialutilizes the Yield Book prepayment model to determine the behavior ofamortizing instruments within portfolio accounting reports, the PortfolioPerformance Analysis (PPA) report, and other analytical reports.

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