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?