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needhelp1700

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tT
发表于 2013-4-3 01:15 | 只看该作者

Why No Call Spread? Reading 23 Problem 3

why
Reading 23, Problem 3, why does the CFA not add the 0.8 call risk spread to the 10 year MBS after stating that the MBS is callable?
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ryanlb

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2#
发表于 2013-4-3 01:19 | 只看该作者
I did this problem like 3 months ago. I think there was a footnote that said it was included in some other spread measure or something.

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genuinecfa

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3#
发表于 2013-4-3 01:23 | 只看该作者
0.95% is the prepayment risk (risk of MBS being called), which they have added. It’s different from 0.80%, the call spread for the 10-year callable bond.

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Chuckrox8

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4#
发表于 2013-4-3 01:27 | 只看该作者
oh, they translated “prepayment” into “callable”. That’s tricky. Thanks

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DarienHacker

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5#
发表于 2013-4-3 01:31 | 只看该作者
may have been an issue in the errata for this one, if my memory serves me correctly. which it hasn’t lately.

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