Question
A five-tranche, sequential-pay with an accrual trance $100 million CMO is secured by $100 million dollars of 10-year seasoned mortgage with a contract rate of
A five-tranche, sequential-pay with an accrual trance $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 A tranche (in millions of dollars)?
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The total outflow in One month for tranche B is 158 Mn A ...
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Statistics For Business Decision Making And Analysis
Authors: Robert Stine, Dean Foster
2nd Edition
978-0321836519, 321836510, 978-0321890269
