Question

Given the following information of the mortgage pool that backs a MPT, what is the regular scheduled payment in month 1 of the security? Use WAC as the mortgage rate and WAM as the number of periods for your calculations. Round your final answer to two decimals. (Answer is NOT 1231650.17)

• 30 year FRM, fully amortizing, monthly payments

• Loans seasoned for 3 months before entering pool

• WAM: 357

• WAC: 4%

• Servicer/Guarantee fee: 0.55%

• Starting pool balance: 250,342,967

• Prepayment assumption: 75% PSA

Given the following information of the mortgage pool that backs a MPT (same as Question 3,4,5,6), what is the month 1 ending/month 2 starting pool balance for this security? Round your final answer to two decimals. (Answer is NOT 1415133.16)

• 30 year FRM, fully amortizing, monthly payments

• Loans seasoned for 3 months before entering pool

• WAM: 357

• WAC: 4%

• Servicer/Guarantee fee: 0.55%

• Starting pool balance: 250,342,967

• Prepayment assumption: 75% PSA

Answer 1

CPR ,Conditional payment rate is an annual rate. However, since the mortgage payments happen monthly, we need to calculate the monthly prepayment rate. SMM is a measure of the monthly mortgage prepayment rate of the security’s mortgage pool.cpr must be converted into a monthly payment rate called as single monthly mortality rate(SMM).

And is calculated for a given CPR a

SMM=1-(1-cpr)^1/12

The public securities association (PSA) bench mark is expressed as a monthly series of CPRs.

Here t is less than 30 , (t is the number of months since the mortgages originated)

CPR = [(PSA/100)*(0.06*t)]/30

Given details are

30 year FRM, fully amortizing, monthly payments

• Loans seasoned for 3 months before entering pool

• WAM: 357

• WAC: 4%

• Servicer/Guarantee fee: 0.55%

• Starting pool balance: 250,342,967

• Prepayment assumption: 75% PSA

CPR=[(75/100)*6/100*4]/30

=.006

SMM= 1-[(1-CPR)^(1/12)]

=1-[(1-.006)^1/12]

=1-.0.99949862

= .00050138

So the regular scheduled payment in month 1 of the security =.00050138*250,342,967

                         =125516.96