Question #1 (10 Points): Mortgage Pass Through Security Number of mortgages in initial pool Average mortgage balance Initial mortgage pool balance Initial Pricing Prepayment Rate Assumption, PSA100 Mortgage rate Mortgage Amortization Years 50 8.40% 3 0.6 % Servicing and Guarantee Fee Coupon rate PAR Market interest rate 7.80% 7.80% 1,000 Pieces of MPT Securities Alternative Lower PSA Alternative Higher PSA 150 Prepayment Speeds for Annual Payment and Amortization: Yr 1 1.30 For Simplicty, apply the prepay speeds of the suitable PSA to the beginning of year mortgage balance Yr 2 3.70 Yr 4 and Beyond 6.00 Yr 3 5.75 100 PSA to project the prepayment for the year, realized at the end of the year. The Total Scheduled Mortgage Payment (recelved by the Pool) In Year 1 $2,345,024 Under Alternative Lower PSA, the Pool Factor at the end of Year 1 is: 0.68536268 ANSWER: FILL UP THE GRID BELOW. PSA 100 (a) () 100% PSA (e) Scheduled (d) Total Principal Guarantee and Interest (e) (f) Total (g) Pmt to End of Year Principal Principal and and Payments Individual EOY Pool due to Interest Pmts Pmts to Issuer Service Fees to Investors Investor Year Balance (f)/H Prepayment to Issuer (b)+(c) (d)-(e) 1 ver or higher) PSA that is consistent with rate change. What is the dollar gain (+) or loss (-), rounded to twc Discount rate Agg Value of MPT Value of MPT 6.80% 7.80 % 096 ver or higher) PSA that is consistent with rate change. What is the dollar gain (+) or loss (-), rounded to twc Value of MPT Discount rate Agg Value of MPT 6.80% 7.80% 8.80% Lower PSA (d) Total Principal (s) (a) () (c) (e) (f) Total Guarantee Pmt to Principal Principal and and Interest and Payments Individual EOY Pool due to Interest Pmts Pmts to Issuer Service Fees to Investors Investor (a)x(fee %) (b)+(e) (f)/# Year Balance Prepayment to Issuer (d)-(e) Value of MPT Discount rate AgE Value of MPT 6.80% 7.80% 8.80% Higher PSA (a) () (c) (d) Total Principal and Interest (e) (f) Total (s) Guarantee Pmt to Principal and Individual Principal and Payments Pool EOY due to Interest Pmts Pmts to issuer Service Fees to Investors Investor (a)x(fee % ) (f)/ Year Balance Prepayment to Issuer (b)+(e) (d)-(e) Value of MPT Discount rate Age Value of MPT 6.80% 7.80% 8.80% OHNM OHNM Question #1 (10 Points): Mortgage Pass Through Security Number of mortgages in initial pool Average mortgage balance Initial mortgage pool balance Initial Pricing Prepayment Rate Assumption, PSA100 Mortgage rate Mortgage Amortization Years 50 8.40% 3 0.6 % Servicing and Guarantee Fee Coupon rate PAR Market interest rate 7.80% 7.80% 1,000 Pieces of MPT Securities Alternative Lower PSA Alternative Higher PSA 150 Prepayment Speeds for Annual Payment and Amortization: Yr 1 1.30 For Simplicty, apply the prepay speeds of the suitable PSA to the beginning of year mortgage balance Yr 2 3.70 Yr 4 and Beyond 6.00 Yr 3 5.75 100 PSA to project the prepayment for the year, realized at the end of the year. The Total Scheduled Mortgage Payment (recelved by the Pool) In Year 1 $2,345,024 Under Alternative Lower PSA, the Pool Factor at the end of Year 1 is: 0.68536268 ANSWER: FILL UP THE GRID BELOW. PSA 100 (a) () 100% PSA (e) Scheduled (d) Total Principal Guarantee and Interest (e) (f) Total (g) Pmt to End of Year Principal Principal and and Payments Individual EOY Pool due to Interest Pmts Pmts to Issuer Service Fees to Investors Investor Year Balance (f)/H Prepayment to Issuer (b)+(c) (d)-(e) 1 ver or higher) PSA that is consistent with rate change. What is the dollar gain (+) or loss (-), rounded to twc Discount rate Agg Value of MPT Value of MPT 6.80% 7.80 % 096 ver or higher) PSA that is consistent with rate change. What is the dollar gain (+) or loss (-), rounded to twc Value of MPT Discount rate Agg Value of MPT 6.80% 7.80% 8.80% Lower PSA (d) Total Principal (s) (a) () (c) (e) (f) Total Guarantee Pmt to Principal Principal and and Interest and Payments Individual EOY Pool due to Interest Pmts Pmts to Issuer Service Fees to Investors Investor (a)x(fee %) (b)+(e) (f)/# Year Balance Prepayment to Issuer (d)-(e) Value of MPT Discount rate AgE Value of MPT 6.80% 7.80% 8.80% Higher PSA (a) () (c) (d) Total Principal and Interest (e) (f) Total (s) Guarantee Pmt to Principal and Individual Principal and Payments Pool EOY due to Interest Pmts Pmts to issuer Service Fees to Investors Investor (a)x(fee % ) (f)/ Year Balance Prepayment to Issuer (b)+(e) (d)-(e) Value of MPT Discount rate Age Value of MPT 6.80% 7.80% 8.80% OHNM OHNM
