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Consider a sequential pay CMO that is backed by 60 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM =15
Consider a sequential pay CMO that is backed by 60 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM =15 years and WAC =5%. There is a servicing fee of 0.6% and prepayment is according to 100% PSA. There are three tranches in this CMO: tranch A issued for $1,500,000, tranche B issued for $3,000,000, and a Z-bond issued for $1,500,000. How much cash flow do investors in tranche A receive in the first month
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