I get why there isn’t a spread over the 10 year treasury, but shouldn’t they include the spread for the 10 year treasury over the 1 year treasury? Otherwise you’re not being compensated for the extended holding period.
10-year MBS prepayment risk spread (over 10-year Treasuries)a 95 bps
fine print - fine note a
aThis spread implicitly includes a maturity premium in relation to the 1-year T-note as well as compensation for prepayment risk.
Fine print / footnotes are as important !
发表于 2013-4-23 11:21
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