SOLN:
Starting Pool Balance=(50*100,000)+(100*250,000)+(50*300,000)=45,000,000
[(50*100,000*0.04)+(100*250,000*0.0425)+(50*300,000*0.050)]/45,000,000=(200,000+1,0
62,500+750,000)/45,000,000
4.47
Question 4. If these 200 loans are pooled to create a MPT, what is the starting pool balance
in dollars? Assume the loans are not seasoned before securitization.
SOLN:
Starting Pool Balance=(50*100,000)+(100*250,000)+(50*300,000)=45,000,000
Question 5. Now imagine that these loans whose origination values are listed above are
seasoned for 6 months before creating a MPT. What is the starting pool balance? Assume
that all loans are fixed rate, fully amortizing and make monthly payments. Additionally,
assume that in the time period between origination and securitization every borrower
makes exactly their scheduled payment (no prepayments, no defaults). Express your answer
in dollars rounded to the nearest cent, if necessary. (Hint: calculate balance outstanding on
each segment of the pool after making 6 payments.)
SOLN:
You know if the loans are seasoned, then the starting pool balance has to be less than
45,000,000
Group 1 PV=100,000; FV=0; N=360; i/y=4/12 CPT PMT=-477.41
Change N to 6, CPT FV=-99,128.27
Multiply by 50 (number of this type of loan)= 4,956,413.60
Group 2 PV=250,000; FV=0; N=180; i/y=4.25/12 CPT PMT= -1,880.70
Change N to 6, CPT FV=-243,975.20
Multiply by 100 (number of this type of loan)= 24,397,519.93
Group 3 PV= 300,000; FV=0; N=360; i/y=5/12 CPT PMT= -1,610.46
Change N to 6, CPT FV= -297,814.56
Multiply by 50 (number of this type of loan)= 14,890,727.81
Sum Group 1+ Group 2 + Group 3=
44,244,661.34