None ABC Bank originated a pool of containing 10 three-year fixed-rate mortgages with loan amount of $100,000 each. All mortgages in the pool carry a rate of 6% with annual payments. The guarantee andservicing fee is 1%. ABC Bank would like to sell the pool to investors via Mortgage Pass Through (MPT) security. Suppose that 100,000 shares will be issued and there are no prepayment and nodefault for the borrowers. If market interest rate is 5.5%, what is the price for each MPT security?PLEASE SOLVE USING EXCEL AND SHOW FORMULAS AND STEPS AND THE ANSWERS. THANK YOU

Step 2: Determine the present value of the cash flows using the market interest rate of 5.5%.We'll…

Answered: ABC Bank originated a pool of…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter16: Working Capital Policy And Short-term Financing

Section: Chapter Questions

Problem 14P

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Please show step by step how to solve and all formulas. The Green Bank originates a pool of containing 100 30-year fixed-rate mortgages with loan amount of $250,000 each. All mortgages in the pool carry a rate of 6.5% with monthly payments. The servicing fee is 0.05% each month. The Green Bank would like to sell the pool to investors via MPT security. Suppose that they issue 150,000 shares of MPT security and the market interest rate is 6%. Questions A. Assume that there are no prepayment and no default, how much an investor would like to pay for each share of the MPT security? B. What is the price of each share of the MPT if there are a constant prepayment rate of 1.5% every month and no default? C. What is the price of each share of the MPT if there are a constant default rate of 1.5% every month (assuming the recovering rate is 50%) and no prepayment?
A Financial Institution (FI) originates a pool of 500 30-year mortgages, each averaging $150,000 with an annual mortgage coupon rate of 8 percent. Assume that the entire mortgage portfolio is securitized to be sold as GNMA pass-throughs. The GNMA credit risk insurance fee is 6 basis points, and the FI's servicing fee is 19 basis points. Assume no prepayments. What are the expected monthly cash flows (fees) for the GNMA? $2,947.83 $4,527.72 $13,014.25 $3,123.42 $8,973.62
A CMO is being issued with 2 tranches:- Tranche A has $58 million in principal and a 3.3% coupon.- Tranche B has $18 million in principal and a 5.6% coupon.The mortgages backing the security issued are FRM at a mortgage rate of 4.1% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR.What is the dollar amount of prepayments in year 1? Round your answer to two decimal points (e.g. if your answer is $4,566.6666, write 4566.67).
Please solve this and show step by step how to solve to answer questions A. B. and C. The Green Bank originates a pool of containing 100 30-year fixed-rate mortgages with loan amount of $250,000 each. All mortgages in the pool carry a rate of 6.5% with monthly payments. The servicing fee is 0.05% each month. The Green Bank would like to sell the pool to investors via MPT security. Suppose that they issue 150,000 shares of MPT security and the market interest rate is 6%. A. Assume that there are no prepayment and no default, how much an investor would like to pay for each share of the MPT security? B. What is the price of each share of the MPT if there are a constant prepayment rate of 1.5% every month and no default? C. What is the price of each share of the MPT if there are a constant default rate of 1.5% every month (assuming the recovering rate is 50%) and no prepayment?
Goldtiger is issuing a CMO with 2 tranches:- Tranche A has $29 million in principal and a 3.9% coupon.- Tranche B has $20 million in principal and a 3.9% coupon. The mortgages backing the security issued are FRM at a mortgage rate of 3.9% with 10 year maturities and annual payments. There is no guarantee/servicer fee. Prepayment is assumed to be 5% CPR.In year 1, what is the cash flow to investors in Tranche B? Round your answer to two decimal points (e.g. if your answer is $50,999.4532, write 50999.45).
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The MZ Mortgage Company is issuing a CMO with three tranches. The A tranche will consist of $40.5 million with a coupon of 8.25 percent. The B tranche will be issued with a coupon of 9.0 percent and a principal of $22.5 million. The Z tranche will carry a coupon of 10.0 percent with a principal of $45 million. The mortgages backing the security issue were originated at a fixed rate of 10 percent with a maturity of 10 years (annual payments). The issue will be overcollateralized by $4.5 million, and the issuer will receive all net cash flows after priority payments are made to each class of securities. Priority payments will be made to the class A tranche and will include the promised coupon, all amortization from the mortgage pool, and interest that will be accrued to the Z class until the principal of $40.5 million due to the A tranche is repaid. The B class securities will receive interest-only payments until the A-class is repaid and then will receive priority payments of…
Third Mortgage Investors makes money by purchasing mortgage backed securities (MBS), stripping them into interest only (IO) and principal only (PO) components, and selling the components for more than it paid for the original security. Suppose the company purchases a $100,000 Face value MBS carrying a coupon of 9 percent and a maturity of 30 years. Assume for the purpose of the following analysis, the MBS will make payments on an “ANNUAL BASIS.” What is the remaining principal balance on the MBS if it survives 1-year? 3-years? 5 years? 8 years?
Overseas bank is pooling 50 similar and fully amortized mortgages into a pass-through security. The face value of each mortgage is $100,000 paying 180 monthly interest and principal payments at a fixed rate of 9 percent per annum. What is the monthly payment received by investors of the mortgage pass-through if the Fl deducts a 50 basis points servicing fee? $49,237. $50,713. $50,459. $51,200. $52,100.
The Green Mortgage Company has originated a pool containing 75 ten-year fixed interest rate mortgages with an average balance of $102,200 each. All mortgages in the pool carry a coupon of 12 percent. (For simplicity, assume that all mortgage payments are made annually at 12% interest.) Green would now like to sell the pool to FNMA. Required: a. Assuming a constant annual prepayment rate of 10 percent (for simplicity, assume that prepayments are based on the pool balance at the end of each year), what will be the price that Green should obtain on the date of issuance if market interest rates were (1) 11 percent? (2) 12 percent? (3) 9 percent? b. Assume that five years have passed since the date in (a). What will the pool factor be? If market interest rates are 12 percent, what price can Green obtain then? c. Instead of selling the pool of mortgages in (a), Green decides to securitize the mortgages by issuing 100 pass-through securities. The coupon rate will be 11.5 percent and the…
Third Mortgage Investors makes money by purchasing mortgage backed securities (MBS), stripping them into interest only (IO) and principal only (PO) components, and selling the components for more than it paid for the original security. Suppose the company purchases a $100,000 Face value MBS carrying a coupon of 9 percent and a maturity of 30 years. Assume for the purpose of the following analysis, the MBS will make payments on an “ANNUAL BASIS.” 1) What is the annual payment on the MBS

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