Four-Tranche Sequential-Pay Structure

Question

1. How would you fund the tranche Z of the example in the securitization manual?

2. What reinvestment rate from the excess spread will guarantee that there will be sufficient money to pay0ff creditors of tranche Z?

3. When tranche Z creditors will get their final check?

Four-tranche pass-through created from the underlying collateral with WAC of .2052, WAM of 102 months, and weighted average pass-through rate of 19 percent Assuming 3 percent prepayment after 18 months for 10-year residential mortgages in Iran

	Par Amount	Coupon Rate	Maturity in Months	Principal Pay-down Window In Months*	Average Life** In year
Tranche A	21,250,000,000	0.174	24	23	1.04
Tranche B	21,250,000,000	0.181	43	20	2.82
Tranche C	21,250,000,000	0.190	61	18	4.40
Z Bonds	21,250,000,000	0.215
Total collateral	IR850 billion
Pass-through Rate		0.190	102		4.96    years
WAC of Collateral		0.2052
WAM of Collateral		102 Months

1.This is the time period between the beginning and the end of total principal payments to a tranche.

2.This is the average time to receipt of principal amounts (scheduled principal payment and projected prepayments), weighted by the amount of expected principal.