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 | Month1 | Month2 |
| Balance | 100,000,000 | ? |
| Interest | 666,667 | ? |
| p | 733,765 | ? |
| Scheduled Principal | ? | ? |
| CPR | ? | ? |
| SMM | ? | ? |
| Prepaid Principal | ? | ? |
| Total Principal | ? | ? |
| Cash Flow | ? | ? |
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Analysis For Financial Management
Authors: Robert C. Higgins
5th Edition
0256167036, 9780256167030
