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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 pass-through MBS with an initial principal of $1,000,000, a pass-through 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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This note was uploaded on 12/02/2009 for the course FIN 4243 taught by Professor Dudley during the Fall '08 term at University of Florida.
- Fall '08