Complete the following table (in thousands of dollars) assuming a prepayment rate of 165 PSA: Original balance:

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Complete the following table (in thousands of dollars) assuming a prepayment rate of 165 PSA:
Original balance: $ 100,000,000
Pass-through rate: 9.0%
WAM: 360 months

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:33 AM

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Complete the following table (in thousands of dollars) assuming a prepayment rate of 165 PSA: Original balance:

Question:

Mortg Sch. PreT Cash Outst Month Bance SMM Pam. Interest Princ. pm. Princ. Flow S100,000 $841 S 99,934 $841

Step by Step Answer:

We now construct a monthly cash flow for a passthrough of 90 165 PSA and WAM of 360 months The underlying mortgages for this passthrough are assumed to be fixedrate levelpayment mortgages of 841 It wi...View the full answer

Bond Markets Analysis and Strategies

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