Back of the envolope valuation for a mortgage portfolio

Hi guys,


I got the task to determine the price for a mortgage portfolio. I got the basic portfolio stats (no loan level data) and am wondering how to best perform a rough valuation.

I have information like the z-spread, coupon, duration, principle amount.

In a second step I am supposed to decide which price one would be willing to pay. The portfolio has a z-spread of 2.5%, currently a new portfolio would have a z-spread of 1.9%. So we would of course want to get at least the same return.


Do you have any idea on how to approach this?


 

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