Question 1

An individual is purchasing a $130,000 home. She is making a $30,000 down payment and plans to finance over 15 years at the fixed rate of 7%. Her monthly payment will be

Question 2

After the 120^th payment is made, the remaining balance of the loan from the previous problem will be?

Question 3

The principal portion of the 121^st payment of the loan from the two previous problems will be?

Question 4

Consider a $200 million pass-through backed by FRMs with a WAC rate of 7.75%, pass-through rate of 7.0% and WAM of 358 months. In Month 1, the pass-through will pay the interest amount of?

Question 5

The scheduled principal payment by the pass-through from the previous questions in Month 1 is

Question 6

The SMM in Month 1 in the assumption of 200 PSA will be

Question 7

A floater and an inverse floater are being created from a CMO tranche with a par value of $120,000 and a coupon rate of 7%. If the coupon rate of the floater is LIBOR + 1% and the coupon leverage is 4, then the coupon rate of the inverse floater will be ___- 4LIBOR

Question 8

Consider the following CMO structure backed by 8% collateral:

Tranche Par Amount Notional Amount Coupon Rate

A $300,000,000 6.50%

B $250,000,000 6.75%

C $200,000,000 7.25%

D $250,000,000 7.75%

IO ? 8.00%

The notional amount of the IO tranche is

Question 9

A semiannual 8% bond is selling in the cash market for $80 (per $100 of face value), and its next payment is due exactly six months from now. What is the theoretical price of a six-month futures contract on this bond if the current six-month interest rate at which funds can be loaned or borrowed is 6%?

Question 10

You are managing bond a portfolio with a current market value of $70 million and a modified duration of 3 years. What position in Treasury bond futures contracts should you take in order to achieve a target duration of 2.5 years? The basis point value of a futures contract is $51.