?????????????MBS????????????- [R ????????????????????

1.??MBScf ????????????

? ??= 25,000,000 ? WAC = 4.5?
? WAM = 355
? WALA????= 5

? ?= 4?
????????100?PSA?300??PSA?500?PSA?900?PSA?

????????????????

?1?

2.???\$ 75,000,000????3.45???WAC?325 WAM????????????????
?b??????????74,1250,000???CPR?
?c?????28???????PSA?

?2?

3.?????????30 YR 3.5??MBS?3.5??????\$ 75,000,000??17.??WALA = 3?10??WAM = 350??WAC = 4.15?

1. ????3??????????
2. ????2??MBS???135???o??10?????275 PSA??????????MBS???10????????1.86??????
3. ????3?????b???????????????MBS?????????5-33???????1/4???
4. ?D??2?????????????????

Generating MBS cash flows can be messy so we are going to write
some functions in R that allows us to generate the cash flows to
structure and price the asset.
1. Using the MBScf function, generate cash flows for the following
pool
? Balance = 25,000,000
? WAC = 4.5%
? WAM = 355
? WALA (Age) = 5
? Net=4%
assuming the following prepayment speeds: 100% PSA, 300% PSA,
500% PSA and 900% PSA.
What is the average life of the pool for each speed?
2. Consider a pool with a \$75,000,000 balance, a WAC of 3.45% and a
WAM of 325.
(a) What is the scheduled balance the next month?
(b) Suppose the actual balance next month is 74,1250,000, what is the
CPR?
(c) If the loan is 28 months old, what is the PSA?
3. Suppose you purchase a Fannie Mae 30 YR 3.5% MBS (3.5% net
coupon) with a \$75,000,000 balance on March 17. The current WALA
= 10, WAM = 350, and WAC = 4.15%
.

(a) What is the accrued interest?

.

(b)The MBS is priced as 135 bps o? the 10?year Treasury at 275 PSA.
What is the yield you will use to price the MBS if the 10?year is
currently yielding 1.86%?

.

(c) Using the yield from (b), what is the price of the MBS taking the
actual delay into account? (See slide 5?33, round price to nearest 1/4
tick)

.

(d) What is the invoice amount paid for the purchase of the bond?