Consider a sequential pay CMO that is backed by 100 mortgages with average balance of $150,000 each. The mortgages have monthly payments with WAM = 30 years and WAC = 6%. There is a servicing fee of 0.4% and prepayment is according to 150% PSA. Tranche A holds $6,000,000 of the mortgage pool principal at origination, tranche B holds $3,000,000 and tranche Z holds $5,000,000. The rest of the pool principal is held by the SPV as a residual. The SPV has set a pass-through rate (coupon rate net of the servicer/guarantee fee) of 4% for Tranche A, 4.5% for Tranche B and 5% for Tranche Z. What is tranche A's outstanding principal balance at the end of the first month (beginning of the second month)? Your Answer: Answer Question 7 Same setup as the previous question. What is the cash flow to the residual tranche in month 1? Your Answer: h Answer
Consider a sequential pay CMO that is backed by 100 mortgages with average balance of $150,000 each. The mortgages have monthly payments with WAM = 30 years and WAC = 6%. There is a servicing fee of 0.4% and prepayment is according to 150% PSA. Tranche A holds $6,000,000 of the mortgage pool principal at origination, tranche B holds $3,000,000 and tranche Z holds $5,000,000. The rest of the pool principal is held by the SPV as a residual. The SPV has set a pass-through rate (coupon rate net of the servicer/guarantee fee) of 4% for Tranche A, 4.5% for Tranche B and 5% for Tranche Z. What is tranche A's outstanding principal balance at the end of the first month (beginning of the second month)? Your Answer: Answer Question 7 Same setup as the previous question. What is the cash flow to the residual tranche in month 1? Your Answer: h Answer
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Please correct answer and don't used hand raiting
Transcribed Image Text:Consider a sequential pay CMO that is backed by 100 mortgages with average
balance of $150,000 each. The mortgages have monthly payments with WAM = 30
years and WAC = 6%. There is a servicing fee of 0.4% and prepayment is according
to 150% PSA. Tranche A holds $6,000,000 of the mortgage pool principal at
origination, tranche B holds $3,000,000 and tranche Z holds $5,000,000. The rest of
the pool principal is held by the SPV as a residual. The SPV has set a pass-through
rate (coupon rate net of the servicer/guarantee fee) of 4% for Tranche A, 4.5% for
Tranche B and 5% for Tranche Z. What is tranche A's outstanding principal balance at
the end of the first month (beginning of the second month)?
Your Answer:
Answer
Question 7
Same setup as the previous question. What is the cash flow to the residual tranche in
month 1?
Your Answer:
h
Answer
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