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In a treasury notes auction, the final high yield will be ________ if the total amount issued is 2.5 billion and the bids submitted are
- In a treasury notes auction, the final high yield will be ________ if the total amount issued is 2.5 billion and the bids submitted are the following:
Total amount (in thousands) | Bid number | Bid amount (in thousands) | bid yield |
2,500,000 | 1 | 500,000 | 2.50% |
| 2 | 1,000,000 | 3.50% |
| 3 | 100,000 | 4.25% |
| 4 | 1,500,000 | 3.70% |
a. | 3.7% | |
b. | 4.25% | |
c. | 2.5% | |
d. | 3.5% |
2.
- Suppose that a pool of mortgage has a Weighted Average Coupon (WAC) of 8%, Pass-Through (PT) rate the 6.5%, Weighted Average Maturity (WAM) is 340 months (namely, it is month 20 right now), with outstanding balance $100,000.
- Assume 125 PSA, Calculate the CPR and SMM for month 20.
- Calculate the scheduled total payment, interest payment and scheduled principal payment for month 20
- Using the result of part 1), calculate the prepayment predicted by 125 PSA
4) What is the total cash flow to the Pass-through holder?
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