Mortgages and the portfolio wac and wam


Problem: As an assistant vice president at a regional bank, your boss has tasked you 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 to find (meaning create some hypothetical) a group of diverse mortgages (meaning each with a different interest rate, principal amount, and maturity) and then, aggregate each mortgage into a pool to calculate the portfolio WAC and WAM. You must provide your boss with a summary spreadsheet that shows the individual mortgages and the portfolio's WAC and WAM calculations.

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Accounting Basics: Mortgages and the portfolio wac and wam
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