QUESTION 7. Consider a sequential pay CMO that is backed by 60 mortgages with average balance...
QUESTION 7.
Consider a sequential pay CMO that is backed by 60 mortgages with average balance of $100,000 each. The mortgages have monthly payments with WAM = 15 years and WAC = 4%. There is a servicing fee of 0.6% and prepayment is according to 100% PSA. There are two tranches in this CMO: tranche A issued for $3,000,000 and tranche B issued for $3,000,000. How much cash flow do investors in tranche A receive in the first month?
QUESTION 8
Using the same CMO as in Question 7 and suppose that in month 10, the beginning balance on tranche A is $2,733,990.91 and the beginning balance on tranche B is $3,000,000. How much cash flow do investors in tranche A receive in month 10?
Homework Answers
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QUESTION 7.
Consider a sequential pay CMO that is backed by 60 mortgages
with average balance...
Consider a CMBS with the following characteristics (Same as Question 4): Backed by $20M mortgages, 7%...
Consider a CMBS with the following characteristics (Same as Question 4): Backed by $20M mortgages, 7% interest, 5-yr maturity, IO annual payments, no service fee There are three tranches issued: – $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 5% – $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% – IO residual tranche (no extra collateral, but collects extra interest) Assume no defaults. What is the cash flow to Tranche B in year 5?
Consider a CMBS with the following characteristics: Backed by $20M mortgages, 7% interest, 5-yr maturity, 10...
Consider a CMBS with the following characteristics: Backed by $20M mortgages, 7% interest, 5-yr maturity, 10 annual payments, no servicer fee - There are three tranches issued . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 596 · $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% 10 residual tranche (no extra collateral, but collects extra interest) Assume no defaults. What is the cash flow to Tranche A in year 1?
QWE R FINC 6620 Homework on ABS Assume that a pool of mortgages with aggregate par...
QWE R FINC 6620 Homework on ABS Assume that a pool of mortgages with aggregate par value of $500 million is used as collateral for an asset backed security. The weighted average coupon on the mortgages is 8.1% and the pass-through coupon rate is 7.2%. a) Calculate the interest payments during the first month. Assume the MBS is packaged into the following sequential-pay tranches. Tranche А Par, $ millions 150 140 110 100 Payment Rule Monthly coupon payment is made...
QUESTION 6 10 points Save Given the following information of the mortgage pool that backs a...
QUESTION 6 10 points Save Given the following information of the mortgage pool that backs a MPT (same as Question 34,5), what is the total cash flow of investors in month 1 of this security? Round your final answer to two decimals. • 30 year FRM, fully amortizing, monthly payments • Loans seasoned for 3 months before entering pool • WAM: 357 • WAC: 4% • Servicer/Guarantee fee: 0.55% • Starting pool balance: 250,342.967 • Prepayment assumption: 75% PSA
HW4
Given the following information of the mortgage pool that backs a MPT, what is the regular scheduled payment in month 1 of the security? Use WAC as the mortgage rate and WAM as the number of periods for your calculations. Round your final answer to two decimals.• 30 year FRM, fully amortizing, monthly payments• Loans seasoned for 3 months before entering pool• WAM: 357 • WAC: 4%• Servicer/Guarantee fee: 0.55%• Starting pool balance: 250,342,967• Prepayment assumption: 75% PSAGiven the following...
QUESTION 5 Use the information below to answer questions 5 through 7. The Cashman mortgage company...
QUESTION 5 Use the information below to answer questions 5 through 7. The Cashman mortgage company originated a pool containing 25 five-year fixed interest rate mortgages with an average balance of $100,000 each. All mortgages in the pool carry a coupon of 10%. (For simplicity, assume that all mortgage payments are made annually at 10% interest.) Assuming a constant annual prepayment rate of 10% (for simplicity, assume that prepayments are based on the pool balance at the end of the...
**IMPORTANT NOTE: I have uploaded the necessary Securitization Tutorial 10 PDF required for this Question as...
**IMPORTANT NOTE: I have uploaded the necessary
Securitization Tutorial 10 PDF required for this
Question as an image file for your use. Thank you so much for all
your prompt assistance! :)
Q.20. This is another exam type question. The
risk inherent in tranches is different to normal assets. During the
GFC it costs many investors a lot of money and during past exams
some students lost a lot of marks. Please make sure that you really
understand the underlying...
Journal entries, t-accounts and Trial balance Question Help During the first month of operations. Smith Services,...
Journal entries, t-accounts and Trial balance
Question Help During the first month of operations. Smith Services, Inc., completed the following transactions (Click the icon to view the transaction data) Read the requirements Requirement 1. Record each transaction in the journal Key each transaction by date. Explanations are not required (Record debits first, then credits. Exclude explanations from journal entries) Od 2. Smith Services received $65,000 cash and issued common stock to the stockholders Journal Entry Accounts Date Debit Credit try)...
QUESTION 7 Select the correct EXCEL programming to compute the net present value of the cash...
QUESTION 7 Select the correct EXCEL programming to compute the net present value of the cash flow stream below. A C D 1 Interest Rate 5% 2 Period CF 4 ($500.00) $100.00 5 6 1 $300.00 7 2 $500.00 $250.00 4 10 11 A. -NPV(C2,C5:C9,1) B. NPV(C2,C5:C9) C. PV(C2, C5:C9) D. C5+NPV(C2,C6:C9) E. NPV(C2,C5:C9,1) 00 9 QUESTION 8 The future value (at the terminal year) of the following cash flow time line (figure below) was computed. (i5% per year) The...
Time Value of Money Spreadsheet Example 4 Module IV Name: Date: 6 7 8 Question 1 9 Question 2 10 Question 3 11 Question...
Time Value of Money Spreadsheet Example 4 Module IV Name: Date: 6 7 8 Question 1 9 Question 2 10 Question 3 11 Question 4 12 Question 5 13 Question 6 14 Question 7 15 Question 8 16 Question 9 17 Question 10 18 19 20 Single Amount or Annuity 21 Periodic Interest Rate 22 Number of Periods 23 24 25 Present Value of Single Amount 26 27 Future Value of Single Amount 28 29 Future Value of An Annuity...
Consider a CMBS with the following characteristics: Backed by $20M mortgages, 7% interest, 5-yr maturity, 10 annual payments, no servicer fee - There are three tranches issued . $13M Tranche A (Senior/Investment Grade CMBS) with coupon rate 596 · $7M Tranche B (Junior/ Non-investment Grade CMBS) with coupon rate 6% 10 residual tranche (no extra collateral, but collects extra interest) Assume no defaults. What is the cash flow to Tranche A in year 1?
QWE R FINC 6620 Homework on ABS Assume that a pool of mortgages with aggregate par value of $500 million is used as collateral for an asset backed security. The weighted average coupon on the mortgages is 8.1% and the pass-through coupon rate is 7.2%. a) Calculate the interest payments during the first month. Assume the MBS is packaged into the following sequential-pay tranches. Tranche А Par, $ millions 150 140 110 100 Payment Rule Monthly coupon payment is made...
QUESTION 6 10 points Save Given the following information of the mortgage pool that backs a MPT (same as Question 34,5), what is the total cash flow of investors in month 1 of this security? Round your final answer to two decimals. • 30 year FRM, fully amortizing, monthly payments • Loans seasoned for 3 months before entering pool • WAM: 357 • WAC: 4% • Servicer/Guarantee fee: 0.55% • Starting pool balance: 250,342.967 • Prepayment assumption: 75% PSA
**IMPORTANT NOTE: I have uploaded the necessary
Securitization Tutorial 10 PDF required for this
Question as an image file for your use. Thank you so much for all
your prompt assistance! :)
Q.20. This is another exam type question. The
risk inherent in tranches is different to normal assets. During the
GFC it costs many investors a lot of money and during past exams
some students lost a lot of marks. Please make sure that you really
understand the underlying...
Journal entries, t-accounts and Trial balance
Question Help During the first month of operations. Smith Services, Inc., completed the following transactions (Click the icon to view the transaction data) Read the requirements Requirement 1. Record each transaction in the journal Key each transaction by date. Explanations are not required (Record debits first, then credits. Exclude explanations from journal entries) Od 2. Smith Services received $65,000 cash and issued common stock to the stockholders Journal Entry Accounts Date Debit Credit try)...
QUESTION 7 Select the correct EXCEL programming to compute the net present value of the cash flow stream below. A C D 1 Interest Rate 5% 2 Period CF 4 ($500.00) $100.00 5 6 1 $300.00 7 2 $500.00 $250.00 4 10 11 A. -NPV(C2,C5:C9,1) B. NPV(C2,C5:C9) C. PV(C2, C5:C9) D. C5+NPV(C2,C6:C9) E. NPV(C2,C5:C9,1) 00 9 QUESTION 8 The future value (at the terminal year) of the following cash flow time line (figure below) was computed. (i5% per year) The...
Time Value of Money Spreadsheet Example 4 Module IV Name: Date: 6 7 8 Question 1 9 Question 2 10 Question 3 11 Question 4 12 Question 5 13 Question 6 14 Question 7 15 Question 8 16 Question 9 17 Question 10 18 19 20 Single Amount or Annuity 21 Periodic Interest Rate 22 Number of Periods 23 24 25 Present Value of Single Amount 26 27 Future Value of Single Amount 28 29 Future Value of An Annuity...
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