ISPITIVA:
24.4.2007.
IV:
:
(: 100 )I 1. , .
)
(2 )
)
2. 20% , (putable bond) 106,010 (callable bond). 4 6,5%. 3 .(4
)
3. (cash flow duration of MBS)
) (2 )
)
)
) .
4. : %
1 7,5% 100
2 7,6% 100
3 7,7% 100
bootstrapping :
1 7,5%
2 7,604% 3 7,710% 10% , e 3 : 9,603%
8,481%
7,5% 7,862%
6,944% 6,437% .
(5 )
5. 4, .(4 )
6. 4, , 8,5%(4 )
7. 4, 3 8,5%.(3 )
8. 4, 3 8,5% (callable) (100). 100, . .(4 )
9. 8, () . (2 )
10. (callable bond) (option-adjusted spread) 0, ?
)
(2 )
)
11. 200 , (agency passthrough security) 7,5% 15 . 8 , (agency
passthrough security)
6 6,2%
8 6,3%
10 6,4%
15 6,6%(4 )
12. 11, (agency passthrough security) 7,5%?
)
(3 )
)
13. 0,74%, (bond-equivalent basis).(4 )
14. (passthrough security)
7% 94,00
8% 97,06
9% 99,50 10% 102,60
11% 105,25 12% 106,19 9% (passthrough security)?(5 )
15. (mortgage-backed security).(3 )
16. (mortgage-backed securities) .(2 )
17. 10 , 10% . . , (CMO) : 70 75 80 85 1 77 72 70 68 2 82 90 77
72 3 86 84 81 78 4 89 86 83 81 5 74 70 68 65 6 88 86 82 80 7 96 92
88 86 8 92 90 86 84 9 74 71 67 65 10 68 64 61 59 79,5. (option
adjusted spread)?
(5 )
18. 17, k (option adjusted spread) 73,8? (3 )
19. asset backed security . (zero-volatility spread) (option
adjusted spread) ?(2 )
20. (CMO) . . : .. 1 20% 70
2 18% 82
3 16% 79
4 12% 68
5 12% 74
6 12% 86
7 6% 91
8 4% 93
?
(5 )
21. 2000 32, 500 25, 1600 27 2300 19. 600.000 14 , (NAV).(3
)
22. ( 12% . . 6%) ( 5% .. 3%) 2 (. ..) (.. 0,1,-1)(4 )
23. (short sale), .. . .(4 )
24. , 12%, ?.(3 )
25. :
)
(2 )
)
26. :
)
(2 )
)
27. :
) (2 )
)
)
)
) .
28. 70 7 9%. 12%, .(4 )
29. ,,, :
..
12% 1,1 0,05
15 1,2 0,10
15 1,0 0,03
5 1,2 0,06
9 1 0,04
6%: ) . ) ) .(4 )
30. ( ) .
1 11% 13,9% 11,8%
2 -2,1 -4,2 -2,2
3 15,6 13,5 18,9
4 0,8 2,9 -0,5
5 -7,9 -4,9 -3,9
6 23,5 26,3 21,7
7 -10,4 -11,2 -13,2
8 19,0 18,8 19,7
? . .(4 )
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