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UNIT 3 ASSIGNMENT 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...

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UNIT 3 ASSIGNMENT
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 Weighted Average Cash (WAC) and Weighted Average
Maturity (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:
• The number of residential mortgages in the portfolio and the range of principal values, interest
ates, and maturities
• The residential mortgage portfolio’s WAC and WAM
• A discussion of the WAC of the pass-through MBS the group has created and whether it
epresents a coupon rate indicative of a high credit quality or a lower credit quality pool of
mortgages
o Include in the discussion the MBS issue’s spread over the comparable Treasury rate.
o Include in your analysis at least 1 outside source for the Treasury rate.
This assignment includes a spreadsheet and a 3 page paper in APA Format. Please do not forget the title
page.
Answered Same Day Jun 26, 2021

Solution

Komalavalli answered on Jun 28 2021
137 Votes
Memorandum
TO: Assistant Vice President
FROM: David Whigham
DATE: 28-06-2020
SUBJECT: Residential Mortgage portfolio
    The purpose of this memorandum is to investigate the acquisition of $100 million residential mortgage portfolio represents high or low credit quality. The analysis includes the residential mortgage portfolio’s Weighted Average Cash, Weighted average Maturity and the Mortgage Backed Security Spread over the US treasury rate.
    Portfolio overview: $100 million mortgage portfolio is created by pooling of 300 residential mortgage portfolios. Principle value of...
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