Page 75 - FINAL CFA SLIDES DECEMBER 2018 DAY 14
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Session Unit 15:
53. Introduction To Asset-Backed Securities
Payments from the underlying collateral (which has a pass-through coupon rate of 8.5%) for the
first 5 months, as well as months 183 through 187, are shown in Figure 4. These include scheduled
payments plus estimated prepayments based on an assumed prepayment rate. (Note that some
totals do not match due to rounding.)
The LOS does
not require
you to do the
tanties calculations
that underlie
the numbers!
The
important
point here is
how the cash
flows are
allocated to
each tranche
