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A $ 1 0 0 0 0 mortgage passthrough security has a passthrough rate of 4 . 5 % , a WAC of 4 .

A $10000 mortgage passthrough security has a passthrough rate of 4.5%, a WAC of
4.8%, a WAM of 8 months, and an original maturity of 30 years. A 4.5% coupon rate PAC
tranche (70% of the passthrough par value) and a 4.5% coupon rate support tranche
(30% of the passthrough par value) are created out of this passthrough. The initial PAC
collar is 90200 PSA. Suppose the actual prepayment rate is 250 PSA. Calculate the
net interest and principal payments to the PAC and support tranches in Month 1.

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