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2. Suppose ABC Bank has used a fixed-rate mortgage portfolio for pass-through securitisation. The mortgage portfolio parameters: Mortgage portfolio balance - $100,000,000 Weighted average
2. Suppose ABC Bank has used a fixed-rate mortgage portfolio for pass-through securitisation. The mortgage portfolio parameters: Mortgage portfolio balance - $100,000,000 Weighted average coupon rate (WAC) - 6% MBS pass-through rate (PT rate) - 5.5%. Weighted average maturity (WAM) - 360 months Estimated prepayment speed 100 PSA. Calculate the first two months cash flows for investors which perchased Mortgage Backed Securities (MBS). Complete the table below. Item Balance Interest P Scheduled principal CPR SMM Prepaid principal Total principal Cash flow Month 1 100,000,000 Month 2
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Fixed Income Analysis
Authors: Barbara S. Petitt
5th Edition
1119850541, 978-1119850540
