1 / 7

Valuing Collateralized Mortgage Obligations

Valuing Collateralized Mortgage Obligations. Given the following information about a pool of fixed-rate mortgages: Amount: $106 million Coupon Rate: 10.5% Maturity: 30 years % PSA: 100% Year 1- 1.3%; Year 2 – 3.7%; Year 3, 5.75%; Year 4 – 6.0% Tranche Data:

jana
Download Presentation

Valuing Collateralized Mortgage Obligations

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Valuing Collateralized Mortgage Obligations • Given the following information about a pool of fixed-rate mortgages: Amount: $106 million Coupon Rate: 10.5% Maturity: 30 years % PSA: 100% Year 1- 1.3%; Year 2 – 3.7%; Year 3, 5.75%; Year 4 – 6.0% • Tranche Data: • Tranche A – 9.50% coupon; $30,000,000 value • Tranche B – 9.75% coupon; $30,000,000 value • Tranche C – 10.25% coupon; $25,000,000 value • Tranche Z – 10.50% coupon; $15,000,000 value • Equity – Residual cashflow; $6,000,000 value For the first 5 years, show: • The end-of-year balance for the pool and each tranche • Scheduled principal and interest payments for the pool and each tranche • Total cash flows for each set of claimants

  2. Pool Level Cash Flows of CMOs

  3. Tranche A Cash Flows

  4. Tranche B Cash Flows

  5. Tranche C Cash Flows

  6. Tranche Z Cash Flows

  7. Cash Flows Accruing to Equityholders

More Related