What is the OAS on the MBS with the following characteristics: 1. Coupon rate: 9.5% 2. Current market price: 97.75 3. Fo
Posted: Sun May 29, 2022 6:14 pm
What is the OAS on the MBS with the following
characteristics:
1. Coupon rate: 9.5%
2. Current market price: 97.75
3. Forward rate at T=0, 1.95%, Forward rates at T=1 +/- 75bps
from T=0 rate, Forward rates at T=2 6%, 4%, and 4% from top to
bottom of the forward rate tree
Submit your response in X.XXX% out to 3 decimals.
characteristics:
1. Coupon rate: 9.5%
2. Current market price: 97.75
3. Forward rate at T=0, 1.95%, Forward rates at T=1 +/- 75bps
from T=0 rate, Forward rates at T=2 6%, 4%, and 4% from top to
bottom of the forward rate tree
Submit your response in X.XXX% out to 3 decimals.