Fixed income

CFA Level II
#1

they had 2 vignettes on fixed income :frowning: What was the answer for the PSA question?

#2

I put that average life would be less than 6 years only if the speed was greater than 260psa

#3

Smarshy Wrote: ------------------------------------------------------- > I put that average life would be less than 6 years > only if the speed was greater than 260psa Agreed.

#4

agreed

#5

agree

#6

what was the name of the class? PAC?

#7

what was the payment answer? I thought that it was the 36k, plus the new accrual interest so it was b 36417ā€¦ anyone?

#8

was the guys definition of CMO correct?

#9

Is that the one about the accural tranche? I put the interest on the accural should go to tranche A.

#10

I think I guessed right on this one :slight_smile: I didnā€™t know how to calculate it. There was a questions on Libor curve and risk free rate. Why Libor curve is used against treasury spot curve. It has more maturity points.f

#11

One answer is TAC, which has min prepayment risk.

#12

i said yes smarsh

#13

jpm351 Wrote: ------------------------------------------------------- > i said yes smarsh This question freaked me out, it seemed easy and yet I had a hard time. I changed it at the last second to yes.

#14

over05 Wrote: ------------------------------------------------------- > One answer is TAC, which has min prepayment risk. Nope. The question was which one protects extension and contraction risk. A TAC only protects against contraction risk.

#15

What is the answer for that one, when is PO has highest return or value? That one is tough for meā€¦I think I chose B which says somethingā€¦canā€™t remember.

#16

I said the PO has highest value when principal repaid right away

#17

over05 Wrote: ------------------------------------------------------- > What is the answer for that one, when is PO has > highest return or value? That one is tough for > meā€¦I think I chose B which says > somethingā€¦canā€™t remember. Immediately. If it pays off 5% in one day, the annualized return is 1.05^365

#18

was one answer PAC A gets 32000 after C changes to an accrual (itā€™s a sequential pay structure anyway)? seemed really obvious unless iā€™m mission something

#19

Did they not asked about ā€œhow much of principal payment would beā€ not ā€œtotal paymentā€? So I just picked the first one from the table

#20

Slash Wrote: ------------------------------------------------------- > was one answer PAC A gets 32000 after C changes to > an accrual (itā€™s a sequential pay structure > anyway)? seemed really obvious unless iā€™m mission > something I thought that too, felt like a trick question. But 32k is right.