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QUESTION 5 Consider a sequential pay CMO that is backed by 100 mortgages with average balance of $150,000 each. The mortgages have monthly payments with
QUESTION 5 Consider a sequential pay CMO that is backed by 100 mortgages with average balance of $150,000 each. The mortgages have monthly payments with WAM = 30 years and WAC = 6%. There is a servicing fee of 04% and prepayment is according to 150% PSA Tranche A holds $6,000,000 of the mortgage pool principal at origination, tranche B holds $3,000,000 and tranche Z holds $5,000,000. The rest of the pool principal is held by the SPV as a residual. The SPV has set a pass-through rate (coupon rate net of the serviceriguarantee fee) of 4% for Tranche A' 4.5% for Tranche B and 5% for Tranche Z. What is tranche A's outstanding principal balance at the end of the first month (beginning of the second month)? QUESTION 6 Same as the previous question, consider a sequential pay CMO that is backed by 100 mortgages with average balance of $150,000 each. The mortgages have monthly payments with WAM= 30years and WA: 696. There is a servicing fee of 04% and prepayment is according to 1 50% PSA Tranche A holds $6,000,000 of the mortgage pool principal at origination, tranche B holds $3,000,000 and tranche Z holds. The rest of the pool principal is held by the SPV as a residual. The SPV has set apass-through rate (coupon rate net of the sericeriguarantee fee) of 4% for Tranche A, 4.5% for Tranche B and 5% for Tranche Z. What is the cash flow to the residual tranche in month 1
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