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Consider an MPT backed by 200 mortgages with average beginning balance of $50,000. The WAC = 4% and WAM =180 with monthly payments. Assume that
Consider an MPT backed by 200 mortgages with average beginning balance of $50,000. The WAC = 4% and WAM =180 with monthly payments. Assume that there is no prepayment and no servicing fee. Using the 200% SDA model, what is the dollar amount of defaults on month 5? [Hint: the formula for converting CDR into Monthly Default Rate (MDR) is: MDR = 1 (1 CDR)1/12. Remember that the MDR is applied to the pool balance after the scheduled principal has been paid.]
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 = 4%. There is a servicing fee of 0.6% and prepayment is according to 100% PSA. There are two tranches in this CMO: tranch A issued for $3,000,000 and tranche B issued for $3,000,000. How much cash flow do investors in tranche A receive in the first month?
Using the same CMO as in Question 7 and suppose that in month 10, the beginning balance on tranche A is $2,733,990.91 and the beginning balance on tranche B is $3,000,000. How much cash flow do investors in tranche A receive in month 10?
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 = 4%. 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 $2,000,000, tranche B issued for $2,000,000, and a Z-bond issued for $2,000,000. How much cash flow do investors in tranche A receive in the first month?
Consider the same CMO as in Question 9 and suppose that in month 10, the beginning balance on tranche A is $1,682,409.07, the beginning balance on tranche B is $2,000,000.00 and the beginning balance on Z is $2,051,581.84. How much cash flow do investors in tranche A receive in month 10?
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