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.