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Unformatted text preview: 1 4 9 27 40 120 340 (b) Complete the following table: SMM Assuming: Month 100% PSA 70% PSA 320% PSA 1 4 9 27 40 120 340 5. Construct a monthly cash flow schedule for a passthrough MBS with an initial principal of $1,000,000, a passthrough rate of 7%, a WAC of 7.5% and a WAM of 120 months. Assume the underlying mortgages are newly originated, in other words, you can start the CPR at month 0. Use Excel and attach the Excel sheets. Use the schedule format on page 256 of the book. [HINT: You want to be able to obtain the example cash flow schedule on page 256 of the book first.] a) Use 100 PSA as the benchmark. b) Use 180 PSA as the benchmark. c) Assume no prepayment....
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 Fall '08
 DUDLEY
 Finance, Debt, Harshad number, Treasury coupon security, value Treasury coupon

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