RE: MBS Factor Adjustment [I]
Classification: For internal use only
Team,
Following up on our conversation about the WAMU MBS security in the Southern Financial brokerage account, I've listed a screenshot from the most recent statement.
The statement lists a "Factor' of .4865 which represents the amount remaining of the loan portfolio that has not been paid down (as a %of original). The current value = original face amount • the adjustment factor • (the current price/100).
| Date Acquired | Unit Cost | Agusted Cast Basis | Market Price | Market Value | Unrealized Gain/Loss | Accrued Interest | Estimated Estimated Annual Income Yield | ||
|---|---|---|---|---|---|---|---|---|---|
| Fixed Income 23.00% of Portfolio in Maturity Date Sen | |||||||||
| Asset Backed | Securities | ||||||||
| WASHINGTON MUT MTG SECS CORP 2004-RAZ | Security Identifier: | 939336520 | |||||||
| MTG PASSTHRU | CTF CL C-B-1 | VAR RATE | |||||||
| 7.616% 07/25/33 BE DTD 06/01/04 S&P Rating D | |||||||||
| Factor: 0.49647867 Effective Date:06/02/15 | |||||||||
| Current Face | Value: 627.557.484 | ||||||||
| 12/13/13 13.12 | 1,290.000.000 | 76.5190 | 880,198.25 | 83.9380 | 526,759.20 | 46.560.95 | 3.983.18 | ||
| Original Cost Basis: | $638.906.71 |
Best regards,
Andrew King
Andrew King, CFA
Vice President | Investment Solutions Group
Deutsche Bank Securities Inc.
Deutsche Asset & Wealth Management
345 Park Avenue, New York, NY 10154
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CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)
CONFIDENTIAL
DB-SDNY-0073025
SDNY_GM_00219209
EFTA01376678
Classification: For internal use only
Beautiful. Thanks