Problem 6 Consider the accompanying Markov chain transition matrix for collateral underlying a structured transaction. This collateral has a WAC of 12% and a WAM of 72 months. (Assume the yield curve for this credit class is flat.) Loan level analysis is being performed using Monte Carlo simulation where average Ioan size is $20,000. For one loan on a given scenario the following state and outcome is observed/measured: the loan is between 30 and 60 days delinquent; a random number in the interval [0,1] is selected and is found to be .04. What is the total payment to the trust that the model will assume for this loan-scenario pair at the end of the period? Hint: Remember that a delinquent payment still accrues interest - usually at a premium to the normal interest of the loan. However, in this case a zero premium is assumed. Also, assume that this particular loan has interest equal to the WAC of the collateral pool. Problem 6 Consider the accompanying Markov chain transition matrix for collateral underlying a structured transaction. This collateral has a WAC of 12% and a WAM of 72 months. (Assume the yield curve for this credit class is flat.) Loan level analysis is being performed using Monte Carlo simulation where average Ioan size is $20,000. For one loan on a given scenario the following state and outcome is observed/measured: the loan is between 30 and 60 days delinquent; a random number in the interval [0,1] is selected and is found to be .04. What is the total payment to the trust that the model will assume for this loan-scenario pair at the end of the period? Hint: Remember that a delinquent payment still accrues interest - usually at a premium to the normal interest of the loan. However, in this case a zero premium is assumed. Also, assume that this particular loan has interest equal to the WAC of the collateral pool