A floating rate bond and an inverse floating rate bond are b…
A floating rate bond and an inverse floating rate bond are backed by $100 million portfolio of bonds. The coupon rate on the floater equals: r, where r is the reference floating rate. The coupon rate on the inverse floater equals: 12% – 2r. The floating rate tranche has a floor of 1%. The cap (in percent) on the inverse floating tranche is:
Read DetailsA 100 million dollar mortgage pool of 15-year mortgages has…
A 100 million dollar mortgage pool of 15-year mortgages has a contract rate of 6%. Compute the scheduled principal payment in millions of dollars to four decimal places. The CPR equals 10%. Compute the SMM as a percent to four decimal places.
Read DetailsA 100 million dollar mortgage pool of 15-year mortgages has…
A 100 million dollar mortgage pool of 15-year mortgages has a contract rate of 6%. The CPR equals 10%. Compute the first principal prepayment to the entire pool in millions of dollars to four decimal places. Do not include the scheduled principal payment.
Read Details