Question
A five-tranche, sequential-pay $100 million CMO is secured by $100 million dollars of 10-year seasoned mortgage with a contract rate of 9.5 (annual rate compounded
A five-tranche, sequential-pay $100 million CMO is secured by $100 million dollars of 10-year seasoned mortgage with a contract rate of 9.5 (annual rate compounded monthly). The prepayment speed is 300 PSA. Each tranche has a principal value of $20 million. In one month, based on the prepayment speed what is the cash flow to the B tranche (in millions of dollars)?
| 0.158 | ||
| 0.168 | ||
| 0.325 | ||
| 0.350 |
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International Trade Finance
Authors: Tarsem Bhogal, Arun Trivedi
2nd Edition
303024542X, 9783030245429
