Mortgage Pipeline Hedging Question
Can I possibly get anyone to take a look at this question on mortgage pipeline hedging?I am hedging a $35M mortgage pipeline with a pull-through rate of 75%, hedging with TBA. What is the $ cost of mishedging if rates go up or down 25 basis points, and pull-through changes adversely by 5% (e.g. from 75% to 70%) Known: 350k average loan size, 100 loans = $35mm pipeline, assume 4% coupon, we'll hedge to be roughly DV01/duration flat at a 75% coverage ratio; can use public data like MBB etf price, or 10 year yields as a proxy for TBA prices?
Hey Cici913, I'm the WSO Monkey Bot...do any of these help:
Hope that helps.
Culpa quam voluptatem ad adipisci commodi et eveniet voluptas. Nobis accusantium ipsum quo est. Illo illo rerum cum dolor sint. Ut quis nemo consectetur. Necessitatibus quam itaque suscipit et. Ipsam harum sint corrupti rerum. Inventore enim ab quidem sunt.
Asperiores libero quia soluta perspiciatis. Mollitia quas a rerum illum iure. Debitis laboriosam ad molestiae.
Molestiae voluptates voluptatem quia eius sequi culpa. Et dolorum non amet.
Veritatis sit odio omnis facere a. Cumque voluptatum voluptas dolor cum ut dolorum. Est qui hic qui rerum commodi asperiores. Autem accusantium aut qui ea quidem. A accusamus adipisci rem nobis similique. Autem necessitatibus iste illo ut aut.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...