ASSIGNMENT 6: Mortgages and CMO Structures

Suppose you have a brand new mortgage pool (360 remaining months) with a principal value of $400,000,000 and a gross coupon of 4%.  Assume that guarantor and servicing fees are each 25 basis points.

For some of the questions you will consider a sequential pay structure created from the same MBS as above with A, B, C, and D bonds whose starting principal amounts are $100,000,000 each.