Exercise #6

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School

The University of Hong Kong *

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Course

2382

Subject

Finance

Date

Nov 24, 2024

Type

pdf

Pages

1

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THE UNIVERSITY OF HONG KONG Fall Semester 2023-24 FINA2382 Real Estate Finance In-Class Exercise Remark: This will NOT be graded, only for review purpose Consider the following Collateralized Mortgage Obligations with four classes of securities issued. Asset Pool: 5-year, 3% fixed rate Mortgages = $18,000,000 Overcollaterization = $3,500,000 Tranche Stated maturity Coupon Rate Amount Issued A 2 years 2.50% $5,000,000 B 3 years 2.75% $3,500,000 C 4 years 3.15% $3,000,000 Z 5 years 3.25% $3,000,000 Equity = $3,500,000 All cash flows are annual. a) The total payment to Tranche A at the end of year 1. b) The total payment to Tranche B at the end of year 2. c) The total payment to Tranche C at the end of year 2. d) The total payment to Tranche Z at the end of year 2. e) The residual cash flow to equity at the end of year 2.
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