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?