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Asset Pool: 20-year, 9% fixed rate Mortgages = $1,800,000, Overcollaterization = $400,000 Tranche Stated maturity Coupon Rate Amount Issued A 8yrs 7.0% $500,000 B 11yrs

Asset Pool:

20-year, 9% fixed rate Mortgages = $1,800,000, Overcollaterization = $400,000

Tranche Stated maturity Coupon Rate Amount Issued

A 8yrs 7.0% $500,000

B 11yrs 8.0% $400,000

C 3yrs 9.5% $300,000

Z 20yrs 10.0% $200,000

Equity = $400,000

All cash flows are annual.

a)Determine the annual cash flows to Tranche A. (4 points)

b)Determine the annual cash flows to Tranche B. (4 points)

c)Determine the annual cash flows to Tranche C. (4 points)

d)Determine the annual cash flows Tranche Z. (4 points)

e)Determine the annual residual cash flow to equity. (4 points)

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