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Use the following information on a convertible bond issue from for Problems 6 - 10. You are examining a mortgage backed security with the following
Use the following information on a convertible bond issue from for Problems 6 - 10. You are examining a mortgage backed security with the following features: $500 million in underlying mortgages (e.g., principal value = $500 million) Three time tranches, A, B, and where the par value of A is $200 million, the par value of B is $100 million, and the par value of C is $200 million. A is senior to B and B is senior to C. The weighted average coupon (WAC) is 6%; the pass through rate is 5% The security has a weighted average maturity (WAM) of 3 years and payments are made annually (e.g., so it will only make 3 payments). For Questions 6-7, assume that there is no default and no prepayment. 6. What is the value of X in the tables shown in the PDF file? Use the following information on a convertible bond issue from for Problems 6 - 10. You are examining a mortgage backed security with the following features: $500 million in underlying mortgages (e.g., principal value = $500 million) Three time tranches, A, B, and where the par value of A is $200 million, the par value of B is $100 million, and the par value of C is $200 million. A is senior to B and B is senior to C. The weighted average coupon (WAC) is 6%; the pass through rate is 5% The security has a weighted average maturity (WAM) of 3 years and payments are made annually (e.g., so it will only make 3 payments). For Questions 6-7, assume that there is no default and no prepayment. 6. What is the value of X in the tables shown in the PDF file
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