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Type |
DEV-XM Non Conforming |
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Mortgage Coupon |
3.13% |
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Coupon |
4.55% |
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Swap Cost |
2.35% |
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Original Maturity |
30Y |
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Delivery Date |
OCT 14 |
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Net Spread |
100bp |
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Swap Coupon |
2.50% |
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Eff Swap Rate |
2.25% |
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Basel 3 Risk Weight |
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Swap Term |
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Pay or Receive |
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Return On Equity |
15.25% |
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Enter Up Front Fee(%) |
0.0% |
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(35% Tax Rate, 10.5% Tier Capital,
10bp DEV-XM annual fee) |
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Enter Swap Notional Amount |
$10MM |
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To Achieve Risk Adjusted |
Mortgage |
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EXECUTE ORDER |
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PAY FIXED 10Y 2.50% |
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5% |
100 |
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Notional: $355 MM |
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10% |
200 |
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Prem/Disc: 2.5% |
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15% |
300 |
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20% |
400 |
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Price Risk At Swap Maturity |
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Change
in Rates | Mark to Market |
| Unch | |
| +100bp | |
| +200bp | |
| +300bp | |
| +400bp | |
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