any reasonable assumption.(a) [20] Create a dollar roll matrix of breakeven rates for an agency MBS with gross and deal coupons of 8.035% and 7.5%, respectively, and settlement dates 6/14/16 and 9/15/16. Assume standard fully amortizing fixed rate mortgages with a term of 30:0, a WAM of 29:5 and an immediate price of 96-16. MBS CF’s are due the owner of record on the first of each month, but are paid on the 25 of that month.In the hardcopy you send in, you MUST show the analysis for a PSA of 150, a forward drop of 35/32, and a reinvestment rate of 2% (act/360).Calculate breakeven rates for PSAs of 120, 150, and 180, and forward drops of -40, -35, and -30 (32’s).(b) [5] Discuss the risks of roll vs. hold from the perspective of the investor.(c) [5] Why does the dollar roll market exist? (A) Include your name on the first page and back of last page (all pages if you don’t intend to staple them). Make sure that the layout is easily readable ( do not have spreadsheets running over several pages; make sure it is logically arranged; ensure the font doesn’t require a microscope, ). (B) You may use any source you find useful, the help of another person (outside your group). The latter constitutes “cheating.” In particular, rely on me to answer questions by email, except if you are reasonably sure that the information given is insufficient.(C) You MUST email me your spreadsheets, the due date/time. Do not email any spreadsheets you did not hand in. Send in only excel file, combining any separateworkbooks into one. Answer the written questions on separate worksheets. The .
The post Create a dollar roll matrix of breakeven rates for an agency MBS with gross and deal coupons of 8.035% and 7.5%, respectively, and settlement dates 6/14/16 and 9/15/16. Assume standard fully amortizing fixed rate mortgages with a term of 30:0, a WAM of 29:5 and an immediate price of 96-16. MBS CF’s are due the owner of record on the first of each month, but are paid on the 25 of that month.I appeared first on Homework Aider.
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