Business, 28.11.2019 01:31 redhot12352

Same as question 5, consider a sequential pay cmo that is backed by 100 mortgages with average balance of $150,000 each. the mortgages have monthly payments with wam = 30years and wac = 6%. there is a servicing fee of 0.4% and prepayment is according to 150% psa. tranche a holds $6,000,000 of the mortgage pool principal at origination, tranche b holds $3,000,000 and tranche z holds $5,000,000. the rest of the pool principal is held by the spv as a residual. the spv has set apass-through rate (coupon rate net of the servicer/guarantee fee) of 4% for tranche a, 4.5% for tranche b and 5% for tranche z. what is the cash flow to the residual tranche in month 1?

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Same as question 5, consider a sequential pay cmo that is backed by 100 mortgages with average balan...