QUESTION 1 Consider an MPT that is backed by 100 mortgages with an average balance of $450,000 and with monthly payments The MPT has a WAC 8 and WAM 60 months There is no servicing fee on this security Assuming the prepayment model of CPR 8 (same CPR for every month, not changing like in PSA model) and market rate (investor discount rate) is 7 , how much should this security sell for (Use Excel for this question and in the last month of cash flows set CPR 0 to ensure you end up with 0 as ending pool balance) Consider an MPT that is backed by 50 mortgages with average balance of $300,000 and yearly payment The MPT has a WAC 6 and WAM 15 years There is no servicing fee on this security Assuming there is no prepayment and market rate (investor discount rate) is 5 , how much should this security sell for Consider a sequential pay CMO that is backed by 60 mortgages with average balance of $100,000 each The mortgages have monthly payments with WAM 15 years and WAC 8 There is a servicing fee of 0 3 and prepayment is according to 100 PSA There are two tranches in this CMO tranch A issued for $4,000,000 and tranche B issued the rest of the amount How much cash flow do investors in tranche A receive in the first month

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Posted on Oct 07, 2024

QUESTION 1

Consider an MPT that is backed by 100 mortgages with an average balance of $450,000 and with monthly payments. The MPT has a WAC = 8% and WAM = 60 months. There is no servicing fee on this security. Assuming the prepayment model of CPR=8% (same CPR for every month, not changing like in PSA model) and market rate (investor discount rate) is 7%, how much should this security sell for? (Use Excel for this question and in the last month of cash flows set CPR=0% to ensure you end up with 0 as ending pool balance)
Consider an MPT that is backed by 50 mortgages with average balance of $300,000 and yearly payment. The MPT has a WAC = 6% and WAM = 15 years. There is no servicing fee on this security. Assuming there is no prepayment and market rate (investor discount rate) is 5%, how much should this security sell for?
Consider a sequential pay CMO that is backed by 60 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM = 15 years and WAC = 8%. There is a servicing fee of 0.3% and prepayment is according to 100% PSA. There are two tranches in this CMO: tranch A issued for $4,000,000 and tranche B issued the rest of the amount. How much cash flow do investors in tranche A receive in the first month?