Question
A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is based on 30 year mortgages. The current
A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is based on 30 year mortgages. The current market rate for similar bonds is 3.5%, and prepayments currently equal $100 per month. Assume rates immediately rise to 4.5%, and prepayments drop to $40 as a result. The PT will now be paid off in month 310. What is the price of the PT today?
A $184,274.6844
B $102,365.1248
C $98,323.2214
D $94,737.4877
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The Almanack Of Stanley Druckenmiller From Over 40 Years Of Investing Wisdom With Quantum Fund And Duquesne Capital Management
Authors: Rui Zhi Dong
1st Edition
B0B3NV2H9M, 979-8850611453
