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标题: 请问下面中investor究竟是一月份买MBS pool还是卖MBS poll? [打印本页]

作者: Alice0910    时间: 2019-10-5 17:41
标题: 请问下面中investor究竟是一月份买MBS pool还是卖MBS poll?
An investor has financed a purchase of an MBS pool using a dollar valued at USD 10 million. The net proceeds of buying the January/February dollar are USD 133000. The short term interest rate is 0.5%, and the expected total principal pay down is 1%. The current prices are in the table below:

FNMA 30-Year TBAs 4% Coupon
Settlement Price
15-Jan       102.00
15-Feb       101.73




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