David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Valuing Collateralized Mortgage Obligations Given the following information about a.

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David M. Harrison, Ph.D. Real Estate Finance Texas Tech University 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 %; 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

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Pool Level Cash Flows of CMOs Yr Beg. Pool Bal. Beg. Debt Bal. P&IPrinInt Pre- pays Def. Total CF End. Pool Bal. End. Debt Bal

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Tranche A Cash Flows Yr Beginning Balance CouponPrincipalInterest Ending Balance

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Tranche B Cash Flows Yr Beginning Balance CouponPrincipalInterest Ending Balance

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Tranche C Cash Flows Yr Beginning Balance CouponPrincipalInterest Ending Balance

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Tranche Z Cash Flows Yr Beginning Balance Deferred Interest Total Deferred Interest Ending Balance

David M. Harrison, Ph.D. Real Estate Finance Texas Tech University Cash Flows Accruing to Equityholders YrEquity Cashflows