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how to make a dollar roll of breakeven rates for an agency MBS with gross and deal coupons of 8.035% and 7.5%, respectively, and settlement
how to make a dollar roll of breakeven rates for an agency MBS with gross and deal coupons of 8.035% and 7.5%, respectively, and settlement dates 6/14/18 and 8/15/18. Assume standard fully amortizing fixed rate mortgages with a term of 30:0, WAM of 29:5 and price of 96-16. CF's are due on the first of each month, but are paid on the 25th of that month.
Calculate a breakeven rate matrix for PSAs of 100, 150, and 200, and forward drops of -40, -35, and -30 (32's).
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