The first page shows the first 20 months of Exhibit 12.4. Replicate in a working spreadsheet Exhibit 12.4 from the Fabozzi text for all months 1 thru 360. The assumptions are as stated in the text below for your convenience. This is Called Pass-Through 2.
Create Pass-Through 2 with the following assumptions: Monthly cashflow for $500 million, 8.5% Pass-Through Rate with a WAC of 9.125% and a WAM of 350 Months Assuming a 450 PSA. With these assumptions above constant, assume a YTM of 9%, what is:
- the dollar price of the Pass-Through 2; and
- the price as a percentage of par of the Pass-Through 2?
Exhibit 12.4 Monthly Cash Flow for a $400 Million, 7.5% Pass-Through Rate with a WAC of 8.125% and a WAM of 357 Months Assuming 165 PSA (1) (5) (8) (9) (2) Outstanding Balance (6) Schedulel Prink ipal Mortgage Payment Month Total Cash Flory SMM Interest Prepkymas Principal 1 000111 2 400 200 200 309 290 OTT 398,408,181 0 00 139 2975,868 2972,STS 2,968,456 2,500 DOO 2,495,563 2,490,426 442,389 SS2847 663 POS 3 000167 4 0 00 195 5 301 534 621 396,489 499 395,334 213 0 00223 000251 267,535 269,048 270,495 271,873 273,181 274,418 275,583 276,674 277,000 6 T12949 882405 991,341 1,099,664 1,201,280 1,314 299 3,209 923 3,317:59 3,923986 3,529,413 3533 647 336,598 3838,174 3,938,287 4036847 7 394 208,454 0 00279 2963,513 2,9ST J47 2951,160 2943JSS 2935534 2,926,503 2916,666 2906 028 2,894,595 2 882,375 8 0 00308 392 593,208 391 209,254 709 923 821 896 933.560 1044822 1,155,586 1265JS9 1375,246 1483954 1,91789 1998 59 1,804,473 1,909,139 2012 567 2,114,670 2215,361 9 2,484,591 2978 D61 2470839 2962,928 2:54,333 2,445.058 2935,109 2,421,493 2:13,215 2,01,282 2,388 704 2,375,487 0 00336 10 11 000365 0.00393 0 00422 389,617,464 387 918 805 386,114332 84 205,194 382,192,626 380 DT1,956 12 278,631 279,494 280,280 280,986 281,613 282,159 1:20 229 1,524 919 1628 859 1931,581 4,133 J69 4,228 965 4,322,383 4,413850 4,503,374 4,900.848 13 00041 14 00048 2,800,375 1,833 58 1933 203 15 O DOS09 2855,603 16 000538 282,023 283 006 17 311,862,595 315,548 41 313,1358TT 370,627 J66 368 D254SS O 00567 O DO SOT 18 2841,068 2,82519 2.809746 2,792,980 2 JTS,193 2,361641 2,347,175 2,332,099 2,316,424 2300,159 2,031,931 2,129,159 2,224 805 2318 J90 2,411 036 4 76,195 459,339 4840,210 4,918 J3S 283,305 283,521 2314,554 2,412,164 2,508,110 2002,312 2,694 690 19 0 00626 20 0 00656 283,654 4.994 849 Exhibit 12.4 Monthly Cash Flow for a $400 Million, 7.5% Pass-Through Rate with a WAC of 8.125% and a WAM of 357 Months Assuming 165 PSA (1) (5) (8) (9) (2) Outstanding Balance (6) Schedulel Prink ipal Mortgage Payment Month Total Cash Flory SMM Interest Prepkymas Principal 1 000111 2 400 200 200 309 290 OTT 398,408,181 0 00 139 2975,868 2972,STS 2,968,456 2,500 DOO 2,495,563 2,490,426 442,389 SS2847 663 POS 3 000167 4 0 00 195 5 301 534 621 396,489 499 395,334 213 0 00223 000251 267,535 269,048 270,495 271,873 273,181 274,418 275,583 276,674 277,000 6 T12949 882405 991,341 1,099,664 1,201,280 1,314 299 3,209 923 3,317:59 3,923986 3,529,413 3533 647 336,598 3838,174 3,938,287 4036847 7 394 208,454 0 00279 2963,513 2,9ST J47 2951,160 2943JSS 2935534 2,926,503 2916,666 2906 028 2,894,595 2 882,375 8 0 00308 392 593,208 391 209,254 709 923 821 896 933.560 1044822 1,155,586 1265JS9 1375,246 1483954 1,91789 1998 59 1,804,473 1,909,139 2012 567 2,114,670 2215,361 9 2,484,591 2978 D61 2470839 2962,928 2:54,333 2,445.058 2935,109 2,421,493 2:13,215 2,01,282 2,388 704 2,375,487 0 00336 10 11 000365 0.00393 0 00422 389,617,464 387 918 805 386,114332 84 205,194 382,192,626 380 DT1,956 12 278,631 279,494 280,280 280,986 281,613 282,159 1:20 229 1,524 919 1628 859 1931,581 4,133 J69 4,228 965 4,322,383 4,413850 4,503,374 4,900.848 13 00041 14 00048 2,800,375 1,833 58 1933 203 15 O DOS09 2855,603 16 000538 282,023 283 006 17 311,862,595 315,548 41 313,1358TT 370,627 J66 368 D254SS O 00567 O DO SOT 18 2841,068 2,82519 2.809746 2,792,980 2 JTS,193 2,361641 2,347,175 2,332,099 2,316,424 2300,159 2,031,931 2,129,159 2,224 805 2318 J90 2,411 036 4 76,195 459,339 4840,210 4,918 J3S 283,305 283,521 2314,554 2,412,164 2,508,110 2002,312 2,694 690 19 0 00626 20 0 00656 283,654 4.994 849
