1.Suppose ABC Bank in question 1 sells mortgage-backed securities backed by its $100m portfolio of fixed-rate mortgages with the MBS having the following features:

Mortgage collateral = $100,000,000

Weighted average coupon rate (WAC) = 8%

Weighted average maturity (WAM) = 360 months

Estimated prepayment speed = 150 PSA

MBS pass-through rate = PT rate = 7%

ABC will service the mortgage portfolio.

a.Follow the outline table below, and calculate the first 2 months of cash flows going to the MBS investors.

Item Month 1 Month 2 Balance 1,, Interest 583,333 P ?33,T65 Scheduled principal CPR SMM Prepaid principal Tetal principal Ceeh ew