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Quantitative Finance · Glossaire

Qu'est-ce que « Prepayment trade » ?

Definition 20.1 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Chapitre 20 — Mortgage and Structured-Credit Strategies

A prepayment trade is a position in mortgage securities whose value depends on how fast borrowers repay (pass-throughs of one coupon or pool type against another, interest-only or principal-only strips), taken because the trader’s prepayment model differs from the one in the market’s prices, with the interest-rate risk hedged away.

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