Question
An analyst is considering an investment in a mortgage pass-through security. The collateral pool for the security contains fixed-rate, fully amortizing, monthly payment loans with
- An analyst is considering an investment in a mortgage pass-through security. The collateral pool for the security contains fixed-rate, fully amortizing, monthly payment loans with a total par value of $10 million. The characteristics of the pool are:
| Weighted Average Coupon | 4.75% |
| Weighted Average Maturity | 355 months |
| Pass-Through Rate | 4.25% |
The analyst is preparing a forecast of the projected monthly cash flow to investors in in the pass-through. Using a prepayment rate of 150 PSA, the analyst forecasts the following monthly mortgage payments for the pool:
| Months from Now | Months Seasoned | Mortgage Payment |
| 1 | 6 | 52,497.61 |
| 2 | 7 | 52,418.20 |
| 3 | 8 | 52,325.57 |
| 4 | 9 | 52,219.75 |
| 5 | 10 | 52,100.78 |
Based on this information, complete a forecast of the projected total cash flow to investors in the pool for the next five months.
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Financial Reporting Financial Statement Analysis And Valuation
Authors: James M Wahlen, Stephen P Baginskl, Mark T Bradshaw
10th Edition
0357722094, 978-0357722091
