Answer CORRECTLY

e) An asset management firm is reviewing various mortgage backed securities (MBS) and is interested in calculating the single monthly mortality (SMM) rates. The firm is using the Public Securities Association (PSA) standard prepayment benchmark. Required: i. The SMM for month 22 assuming a 140 PSA ii. The SMM for month 200 assuming a 90 PSAc) An investor purchases a 30-year Sh.500, 000 level payment fully amortized n rate of 12 %. Required: The outstanding principal at the end of three months.d) The following information relates to a collateralized mortgage obligation (CMO) structure backed by 8% collateral: Tranche Par amount Coupon rate (%) (Sh.million) A 300 6.50 to 250 6.75 C 200 7.25 D 250 7.75 A client wants a notional interest only (10) with a coupon of 8%. Required: The notional amount for this notional interest only (IO) tranche.has entered into an interest rate swap under which the Trust will pay an annual fixed rate equal to the treasury rate plus 125 basis points and receive LIBOR .The notional amount for this swap is Sh. 150 million. The 15-year treasury rate is 7.5 % at the time of origination for this CDO. Required: Calculate the cash flow available to pay the tranche