You are examining a mortgage backed security with the following features: $300 million in underlying mortgages (e.g., principal value = $300 million) Two credit tranches, A and B, where the par value of A is $100 million and the par value of B is $200 million. A is senior to B. The weighted average coupon (WAC) is 5%; the pass through rate is 4.5% The security has a weighted average maturity (WAM) of 2 years and payments are made annually (e.g., so it will only make 2 payments). No prepayment Assume that, immediately after the first year, $50 million of mortgages are defaulted on. 24.(10 pts.) Fill in the tables below. Total MBS Issue: Year Beg. Balance Payment Interest Paid Principal Paid End. Balance Tranche A: Year Beg. Balance Interest Paid Principal Paid End. Balance Total Cash Flow Tranche B: Year Beg. Balance Interest Paid Principal Paid End. Balance Total Cash Flow You are examining a mortgage backed security with the following features: $300 million in underlying mortgages (e.g., principal value = $300 million) Two credit tranches, A and B, where the par value of A is $100 million and the par value of B is $200 million. A is senior to B. The weighted average coupon (WAC) is 5%; the pass through rate is 4.5% The security has a weighted average maturity (WAM) of 2 years and payments are made annually (e.g., so it will only make 2 payments). No prepayment Assume that, immediately after the first year, $50 million of mortgages are defaulted on. 24.(10 pts.) Fill in the tables below. Total MBS Issue: Year Beg. Balance Payment Interest Paid Principal Paid End. Balance Tranche A: Year Beg. Balance Interest Paid Principal Paid End. Balance Total Cash Flow Tranche B: Year Beg. Balance Interest Paid Principal Paid End. Balance Total Cash Flow