Question
Suppose ABC Bank has a fixed-rate mortgage portfolio with the following features: Mortgage portfolio balance = $100,000,000 Weighted Average coupon rate (WAC) = 8% Weighted
Suppose ABC Bank has a fixed-rate mortgage portfolio with the following features:
Mortgage portfolio balance = $100,000,000
Weighted Average coupon rate (WAC) = 8%
Weighted average maturity (WAM) = 360 months
Estimated prepayment speed = 150 PSA
Complete the table:
| Item | Month 1 | Month 2 | ||
| Balance | 100000000 | |||
| Interest | 666667 | |||
| p | 733765 | |||
| Scheduled principal | ||||
| CPR | ||||
| SMM | ||||
| Prepaid Principal | ||||
| Total Principal | ||||
| Cash Flow | ||||
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Principles Of Finance With Excel
Authors: Simon Benninga
2nd Edition
0199755477, 9780199755479
