Consider a $400,000,000 credit-sensitive passthrough security of FR FA 30-y mortgages with a WAC of...
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Consider a $400,000,000 credit-sensitive passthrough security of FR FA 30-y mortgages with a WAC of 6.5%, NNR of 6%, and a WAM of 29y and 5 months. Assume a price of 101-13 and that there are no recoveries.
A. Amortize the pool at a PSA of 150 and an SDA of 100.
B. What is its cash flow yield?
C. What is its (weighted) average life, or WAL?
D. What is its duration? Ignore any change in PSA/SDA implied by a rate change.
E. What is its convexity? (ditto)
F. Compute the static spread, given the treasury term structure in the accompanying file.
G. Compute the z-spread, given the treasury term structure in the accompanying file.
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