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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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Assume an MBS is composed of the following four different pools of mortgages:

  • $2 million of mortgages that have a maturity of 90 days.
  • $3 million of mortgages that have a maturity of 180 days.
  • $5 million of mortgages that have a maturity of 270 days.
  • $10 million of mortgages that have a maturity of 360 days.

What is the weighted average maturity (WAM) of these mortgage pools?

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