Suppose ABC Bank has a fixed-rate mortgage portfolio with the following features: Mortgage portfolio balance = $100,000,000

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Suppose ABC Bank has a fixed-rate mortgage portfolio with the following features:

Mortgage portfolio balance = $100,000,000

Weighted average coupon rate (WAC) = 8%

Weighted average maturity (WAM) = 360 months

Default loss profile = 100 SDA

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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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Suppose ABC Bank has a fixed-rate mortgage portfolio with the following features: Mortgage portfolio balance = $100,000,000

Question:

Item Beginning principal balance Month 1 100,000,000 Month 2 Interest 666,667 P Scheduled principal 733,765 67,098 Annual default rate Monthly default rate Dollar default loss Ending balance: Beginning balance Default loss Cash flow -

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Bond Evaluation Selection And Management

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