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PSA Prepayment Benchmark

PSA Standard Benchmark The Public Securities Association’s (now known as the Bond Market Association) established convention for expressing prepayments on a mortgage pass-through. The PSA Benchmark is expressed as a series of monthly prepayment rates. It’s also referred to as a prepayment model suggesting that it can be used to estimate prepayment rates. It assumes

Single Monthly Mortality (SMM) & Conditional Prepayment Rate (CPR)

Conditional Prepayment Rate (CPR) CPR is the annualized percentage of the existing mortgage pool that is expected to be prepaid in a year. This assumes a constant rate for prepayment, i.e., after every coupon, a constant percentage of the mortgages will be prepaid. This is also called the Constant Mortgage Mortality (CMM). For example, if