medium · CFA Level I fixed-income
If a PAC tranche is currently protected by a prepayment collar of 100 to 250 PSA, and the actual prepayment speed increases to 300 PSA, the most likely result is that the PAC tranche will:
- Continue to receive payments on its original planned schedule.
- Experience contraction risk.
- Experience extension risk.
Sign up free to see the explanation and track your rank →
More CFA Level I fixed-income practice
- Macaulay duration is measured in units of ________, while modified duration is measured in
- If the yield is 0%, what is its modified duration?
- In the calculation of Macaulay duration, the weights (w_t) applied to each time period t s
- The modified duration is closest to:
- For a Vesper Foods bond with a modified duration of 4.5, a 20 basis point increase in yiel
- A bond's price increases more when yields fall by 100 bps th… — This property is known as:
- Which of the following is synonymous with the 'dirty price' of a Vesper Foods bond?
- Its modified duration is closest to: