Iris
2018-10-07 22:43Suppose that TBA prices of Fannie Mae 6% for July 9 and August 9 settlements are 103 and 102.6, respectively. The accrued interest to be added to each of these prices is 9 actual/360 days of a month's worth of a 6% coupon, 0.15. Let the expected total principal paydown be 2% and assume short-term rate is 1%. If an investor finance a purchase of an MBS pool using dollar roll valued at 10 million. Which of the following is true? A. The roll trades above carry. B. The roll trades below carry. C. The roll trades at breakeven. D. Hard to determine. 請(qǐng)問(wèn)下老師為什么光持有資產(chǎn)的計(jì)算是： 10M(6%/12+2%)=250000, 請(qǐng)解釋下題干里面的2%具體是什么意思，分別在光持有資產(chǎn)和持有+roll里面的應(yīng)用，謝謝！
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
金程教育吳老師助教
2018-10-08 09:47
該回答已被題主采納
學(xué)員你好。2%是本金的償還收入
本題是判斷是否是above carry,所采用的方法是pool＋dollar roll的收益和pool的收益倒軋計(jì)算出dollar roll是否大于0，判斷是否是above carry。
Pool + dollar roll的收益計(jì)算可站在現(xiàn)金流的觀點(diǎn)考慮，先賣pool，再把賣pool的錢無(wú)風(fēng)險(xiǎn)投資，再用這進(jìn)來(lái)的錢到期買pool，剩下的就是Pool + dollar roll的收益。
pool的收益計(jì)算分為本金的償還收入和利息收入，這邊的收益也可站在現(xiàn)金流的觀點(diǎn)理解。
兩者軋差，得到dollar roll收益，判斷是否above carry。
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