Introduction to Mortgage Mathematics and Mortgage-Backed Securities

2 (Mortgage Pass-Throughs) Consider a $400 million pass-through MBS that has just been created (so the 'seasoning' of the pass-through is equal to 0). The underlying pool of mortgages each has a maturity of 20 years and an annual mortgage coupon rate of 6%. The pass-through rate of the mortgage pool is 5%. Assuming a prepayment multiplier of 100 PSA what is the total amount of interest paid to the pass-through investors? Submission Guideline: Give your answer in millions rounded to two decimal places. For example, if you compute the answer to be $123,456,789,12, submit 123.46.

3 (Mortgage-Pass Throughs) Referring to the same mortgage pass-through of the previous question, what is the total amount of the prepayments? Submission Guideline: Give your answer in millions rounded to two decimal places. For example, if you compute the answer to be $123,456,789,12, submit 123.46.

4 (Mortgage-Pass Throughs) Referring to the same mortgage pass-through of the previous question, what is the total amount of the prepayments if the rate of prepayments increases to 200 PSA? Submission Guideline: Give your answer in millions rounded to two decimal places. For example, if you compute the answer to be $123,456,789,12, submit 123.46.