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Posted on May 19, 2024

You are given the details of an RMBS tranche with a floating coupon rate. Assume the tranche can be priced as a fixed rate bond.

Compute the price and the current trading margin of the tranche:

RMBS Tranche

Credit Rating 'A'

BBSW 6Mt1 0.14%

BBSW 6Mt+0 0.17%

Quoted Margin 2.35%

Frequency Semi-Annual

WAL 4 Years

Yield to WAL 2.85%

Today's date 31/7/2020

Face value $100

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