Given the following sequential-pay CMO with a notional IO tranche formed from the MBS in Question 25:

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Tranche A receives all principal payments first from the collateral until its principal of $50 million is retired. Its interest is 5.5%

Tranche B receives its principal of $25 million after A’s principal is paid. Its PT rate is 5%.

Tranche C receives its principal of $25 million after B’s principal is paid. Its PT rate is 5%.

Notional IO tranche receives the residual interest.

a. Using the MBSseqNIO Excel program, create an Excel table for the CMO.

Assume the estimated PSA is

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Bond Evaluation Selection And Management

ISBN: 103132

2nd Edition

Authors: R. Stafford Johnson

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Question Posted: Sep 20, 2024 01:02 AM

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Given the following sequential-pay CMO with a notional IO tranche formed from the MBS in Question 25:

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Bond Evaluation Selection And Management

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