Question: Same as Question 8. consider a sequential pay CMO that is backed by 125 mortgages with average balance of $100.000 each. The mortgages have monthly

 Same as Question 8. consider a sequential pay CMO that is

Same as Question 8. consider a sequential pay CMO that is backed by 125 mortgages with average balance of $100.000 each. The mortgages have monthly payments with WAM - 15 years and WAC 7%. There is a servicing fee of 0.3% and prepayment is according to 200% PSA. Tranche A holds $7,000,000 of the mortgage pool principal at origination, tranche Bholds $3,000,000 and tranche Z holds $2,000,000. The rest of the pool principal is held by the SPV as a residual. The SPV has seto pass through rate (coupon rate net of the servicer/guarantee fee) of 5.5% for Tranche A 5.75% for Tranche Band 6.5% for Tranche 2. At the beginning of month 7 the overall mortgage pool balance has 12,173,352.58 of principal remaining, or that overall principal at the beginning of month 7 Tranche A holds 6,607,465.99. Tranche e holds 3,000,000 and Tranche Z holds 2,065,886.50. What is the cash flow to the residual tranche in month 77

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!