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FINC 6620 Homework on ABS Assume that a pool of mortgages with aggregate par value of $500 million is used as collateral for an asset
FINC 6620 Homework on ABS Assume that a pool of mortgages with aggregate par value of $500 million is used as collateral for an asset backed security. The weighted average coupon on the mortgages is 8.1% and the pass-througe coupon rate is 7.2% a) Calculate the interest payments during the first month. Assume the MBS is packaged into the following sequential-pay tranches. Tranche Par, $ millions 150 140 110 100 Payment Rule Monthly coupon payment is made in proportion to beginning principal balance. Principal payments should be made first to A, then B, then C and finally D tranches
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