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Exam Corrections

Exam Corrections. Question V Boston Capital originates 500 mortgages with an average principal of $200,000 per mortgage. They use these mortgages to create a GNMA securitization. Boston Capital services the … Question X

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Exam Corrections

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  1. Exam Corrections Question V Boston Capital originates 500mortgages with an average principal of $200,000 per mortgage. They use these mortgages to create a GNMA securitization. Boston Capital services the … Question X a) Citi Group has a fixed income portfolio of one-year zero coupon bonds with face value of $50M. On average, the YTM in the bond market changes by 0.004 per day, with a standard deviation of 0.015. Find the one day 99% DEAR of the bond portfolio if the current YTM = 2% c) Citi Group also has an equity portfolio with one-day 99% DEAR of $15M. Find the combine one-day 99% DEAR of their equity and fixed income portfolio if the correlation between the equity returns and the change in BBB bond yield is 0.46. If you could not answer part a, only if you could not answer, then use a fixed income DEAR of $10M.

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