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Business, 13.05.2021 19:00 picklehead7272

A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is based on 30 year mortgages. The current market rate for similar bonds is 3.5%, and prepayments currently equal $100 per month. Assume rates immediately rise to 4.5%, and prepayments drop to $40 as a result. The PT will now be paid off in month 310. What is the price of the PT today

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A mortgage pass-through security (PT) has a par value of $100,000, a 4% coupon paid monthly, and is...
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