Given the following MBS: Mortgage collateral = $100,000,000 Weighted average coupon rate (WAC) = 6% Weighted average

Question:

Given the following MBS:

Mortgage collateral = $100,000,000

Weighted average coupon rate (WAC) = 6%

Weighted average maturity (WAM) = 180 months

Standard (100%) prepayment model

Number of periods to fixed CPR = 15

Fixed CPR = .06

Seasoning = 0

MBS pass-through rate = PT rate = 5.5%

Determine the values and average lives for the following discount rate and prepayment speed pairs: image text in transcribed

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Bond Evaluation Selection And Management

ISBN: 103132

2nd Edition

Authors: R. Stafford Johnson

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Question Posted: Sep 20, 2024 01:02 AM

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Given the following MBS: Mortgage collateral = $100,000,000 Weighted average coupon rate (WAC) = 6% Weighted average

Question:

Discount Rate, Speed (as % of standard) 5%, 200 6%, 150 7%, 100 8%, 50 Value Average Life

Step by Step Answer:

Bond Evaluation Selection And Management

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