The green sampl originated a pool containing 75 ten-year


The Green S&L originated a pool containing 75 ten-year fixed interest rate fully amortizing mortgages with an average balance of $200,000 each. All mortgages in the pool carry a coupon of 10%. (For simplicity, assume all mortgage payments are made annually at 10%). The prepayment rate will be 3% annually in years 1 through 3 and 6% thereafter (assume that prepayments are based on the pool balance at the end of the preceding year and begin at the end of year 1). Green would now like to sell the pool to FNMA. What is the price that Green could obtain if market interest rates were 11%?

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Financial Management: The green sampl originated a pool containing 75 ten-year
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