Explain about residential mortgage portfolios wac and wam

Reference no: EM132473067

OBJECTIVES

Point 1: As an assistant vice president at a regional bank, your boss has tasked you and the other AVPs to work in a group to acquire $100 million of residential mortgages to be securitized in a pass-through MBS. There must be between 250-300 mortgages in the portfolio, none of them with a maturity below 200 months or greater than 360 months. In the interest of time, your boss suggests that the group assign group members to find (meaning create some hypothetical) a group of diverse mortgages (meaning each with a different interest rate, principal amount, and maturity) and then as a group, aggregate each member's mortgages into a pool to calculate the portfolio WAC and WAM.

Your group's task is to provide your boss with a summary spreadsheet that shows the individual mortgages and the portfolio's WAC and WAM calculations, along with a memo of at least 300 words that explains the following:

Question 1: The number of residential mortgages in the portfolio and the range of principal values, interest rates, and maturities

Question 2: The residential mortgage portfolio's WAC and WAM

Question 3: A discussion of the WAC of the pass-through MBS the group has created and whether it represents a coupon rate indicative of a high credit quality or a lower credit quality pool of mortgages

Question 4: Include in the discussion the MBS issue's spread over the comparable Treasury rate.

Question 5: Include in your analysis at least 1 outside source for the Treasury rate.

Reference no: EM132473067

Questions Cloud

Labour supply is a simple function of the wage rate : In class we have discussed unemployment. In this exercise, unemployment will be introduced explicitly into the model. Start with the production function:

Identify two to three business practices of enron : Identify two to three business practices of Enron, describe the objective of these practices, and analyze the ethics of each business practice

Cash economy with no banks : Consider the following (hypothetical) cash economy with no banks. The money supply consists entirely of $1000 in currency. Output is currently at potential.

What is the current quantity of subscriptions for propatient : What is the current quantity of subscriptions for ProPatient? Measure the cross price elasticity of demand for ProPatient subscriptions with respect to price

Explain about residential mortgage portfolios wac and wam : Explain about residential mortgage portfolios WAC and WAM and also explain number of residential mortgages in the portfolio and the range of principal values

What amount of taxes will Tiffany owe : Tiffany is unmarried and has a 15-year-old qualifying child. What amount of taxes will Tiffany owe (or what amount will she receive as a refund)

Powerpoint presentation on critical thinking : Prepare powerpoint presentation on critical thinking - Need 18 slide

Write down the demand equation : From the data given, write down the demand equation and determine its intercepts. Are there any precautions needed when operating at the extreme ends

How does an increase in interest rates affect aggregate : Discuss why an expansionary fiscal policy and increased transfer payments can be used to combat economic recession?

User Account

All Pages