Create a dollar roll matrix of breakeven rates for an agency MBS with gross and deal coupons of 8.035% and 7.5%, respectively, and settlement dates 6/14/19 and 9/15/19. Assume standard fully amortizing fixed rate mortgages with a term of 30:0, a WAM of 29:5 and an immediate price of 96-16. MBS CFs are due the owner of record on the first of each month but are paid on the 25th of that month (this defines the stated delay). Use principal balance 100,000. prepayment is 150.

In your submitted dollar roll screen, show the analysis for a PSA of 150, a forward drop of 15/32, and a reinvestment rate of 2% (act/360). Note however, that the spreadsheet should correctly compute the dollar advantage for any set of inputs (dates, gross and deal coupons, WAM, prices, balances, PSA, and reinvestment rates. Stated delay, original maturity, and rate conventions are fine to hardwire.). Calculate breakeven rates for PSAs of 120, 150, and 180, and forward drops of -20, -15, and -10 (32s).