Question
) A CMO with an Accrual (z-bond) feature is backed by $120M of mortgage collateral with the characteristics given below. The pass-through rate on the
) A CMO with an Accrual (z-bond) feature is backed by $120M of mortgage collateral with the characteristics given below. The pass-through rate on the CMO is 6%. The z-bond has a par value (or principal) of $20M. What total cashflow will the holders of the (accrual)z-bond receive during month 1? Weighted-average coupon rate = 7% Weighted-average maturity = 360 months Estimated prepayment speed = 100 PSA
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International Financial Markets And The Firm
Authors: Piet Sercu, Raman Uppal
1st Edition
1861523548, 978-1861523549
