Suppose interest-only and principal-only stripped MBSs are formed from the following mortgage collateral: Mortgage collateral = $100,000,000

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Suppose interest-only and principal-only stripped MBSs are formed from the following mortgage collateral:

Mortgage collateral = $100,000,000

Weighted average coupon rate (WAC) = 8%

Weighted average maturity (WAM) = 360 months

Estimated prepayment speed = 150 PSA

MBS pass-through rate = PT rate = 7.5%

Complete the table: image text in transcribed

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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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Suppose interest-only and principal-only stripped MBSs are formed from the following mortgage collateral: Mortgage collateral = $100,000,000

Question:

Stripped Stripped Period Collateral Collateral Collateral Collateral Collateral PO IO Scheduled Prepaid Total Cash Cash Month 1 Balance 100,000,000 Interest Principal Principal Principal Flow Flow 2

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Bond Evaluation Selection And Management

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