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一凡007 · 2025年04月08日

解释一下prepay下降po为什么价格低?

NO.PZ2023091701000178

问题如下:

A risk manager at a US-based fixed-income fund expects a significant decrease in mortgage prepayments. The manager evaluates the impact of this forecast on different types of government and agency securities held in the portfolio and recommends selling the asset type with the greatest downside risk. Assuming all other factors are held constant, and the level of market interest rates is unchanged, which of the following positions should the manager recommend liquidating?

选项:

A.Interest-only securities (IOs)

B.Principal-only securities (POs)

C.Pass-through MBS

D.US Treasury bills

解释:

B is correct. If the rate of prepayment decreases and interest rates remain constant, the payments in a PO get extended out over a longer period of time, so the present value of the POs decreases. As prepayments increase, a PO becomes more valuable because cash flows are received earlier than expected. By contrast, Ios become less valuable because fewer interest payments are made overall.

A is incorrect. IOs, in this scenario, would behave exactly the opposite to POs and would be expected to increase in value.

C is incorrect. The impact on pass-throughs will fall somewhere in-between that on IOs and POs and is harder to predict, so PO is still a better candidate to sell.

D is incorrect. US Treasury bills would not be expected to change value at all due to the mortgage prepayment changes.

prepay上升,cashflow早拿,为什么价格高?

1 个答案
已采纳答案

李坏_品职助教 · 2025年04月08日

嗨,爱思考的PZer你好:


从货币时间价值来考虑,一个月之后拿到100块钱的现值,大于十个月之后拿到的100块钱的现值。所以等量的金额,越早拿到就越值钱。


prepay上升的话,现金流会被更早的拿到, PO价值上升。


但是本题的前提是 a significant decrease in mortgage prepayments,那么PO的现金流是更晚拿到,从现值的角度来看是亏的,所以PO价值下降。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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