固定收益证 券Agency Mortgage Pass-Through Securities.pptVIP

* * * Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 12-* Agency Collateralized Mortgage Obligations (continued) Exhibit 12-9 (see Overhead 12-23) reports the average life for the PAC bond and the support bond in FJF-04 assuming various actual prepayment speeds. Notice that between 90 PSA and 300 PSA, the average life for the PAC bond is stable at 7.26 years. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 12-* Exhibit 12-9 Average Life for Pac Bond and Support Bond in FJF-04 Assuming Various Prepayment Speeds Prepayment Rate (PSA) PAC Bond (P) Support Bond (S) 10 15.97 27.26 50 9.44 24.00 90 7.26 18.56 100 7.26 18.56 150 7.26 12.57 165 7.26 11.16 200 7.26 8.38 250 7.26 5.37 300 7.26 3.13 350 6.56 2.51 400 5.92 2.17 450 5.38 1.94 500 4.93 1.77 700 3.70 1.37 Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 12-* Agency Collateralized Mortgage Obligations (continued) Creating a Series of PAC Bonds Most CMO PAC structures have more than one class of PAC bonds. The total par value of the six PAC bonds is equal to $243.8 million, which is the amount of the single PAC bond in FJF-04. Copyright ? 2010 Pearson Education, Inc. Publishing as Prentice Hall 12-* Exhibit 12-10 FJF-05: CMO Structure with Six PAC Bonds and One Support Bonda Tranche Par Amount Coupon Rate (%) P-A $85,000,000 7.5 P-B 8,000,000 7.5 P-C 35,000,000 7.5 P-D 45,000,000 7.5 P-E 40,000,000 7.5 P-F 30,800,000 7.5 S 156,200,000 7.5 $400,000,000 aPayment rules: 1. For payment of periodic coupon interest: Disburse periodic coupon interest to each tranche on the basis of the amount of principal outstanding at the beginning of the period. 2. For disbursement of principal payments: Disburse principal payments to tranches P-A to P-F based on their respective schedules of principal repayments. Tranche P-A has priority with respect to current and future principal payments to satisfy the schedule. Any excess principal payments in a month over the