Mortgage backed securities make coupon payments on a monthly basis. This means that the yield curve should
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Cvpon Maturity Md Coupon Maturity Md Coupon Maturity 0000 127/2000 99,898 5,875 1130/2001 99.80 5500 2/15/2008 0001/14/2000 99,784 6,125 12312001 10665,625 5/15/2008 0000 12/15/2000 99.7486.250 131/2002 100250 4.750 11/15/2008 000 121 5.500 15/2009 LOOO 12/21/2000 99.646 6.250 2/28/2002 100.316 6.000 8/15/2009 0000 12/282000 99,5676.500 3/31/2002 100707 6.500 2/15/2010 625 12/33/2000 99.832 6.375 4/30/2002 100 684 5,750 8150010 00O 142001 99.4387.500 S1S/2002 102.277 11.250 2/15/2015 玄0001/11/2001 99.3 16 6.500 5/31/2002100.941 10.625 8/15/2015 000 18/2001 99.200 6.250 630/2002 100664 9.875 15/2015 0.0001/25/2001 99.081 6.000 7乃1.2002 100.402 9.250 2/15/2016 15/2002 101.008 7250 515/2016 .0000 28/2001 98.843 6.125 312002 100.625 7500 11/15/2016 2/15,2001 98,726 5875 9/30/2002 100 301 8.750 5/15/2017 0 2/22/2001 98,608 5750 1031/2002 100.148 8.835 8/15/2017 000228:2001 99.70311625 11/15/2002 110.707 9.125 5/15/2018 31 9.000 11/15/2018 000 38/2001 98.381.65 12/31/2002 99.992 8875 2/13/2019 し003/15/2001 98.265 5.500 l/31/2003 99,727 8.125 8/15/2019 000 3/22/2001 98.151.250 2/15/2003 101.207 8.500 2/15/2020 0000 329,/200198.035 5.500 228/2003 99,742 8.750 5/15/2020 4875 3/312001 99.5355.500 3/31/2003 99 723 8.750 8152020 000 452001 97.911 5.730 4302003 100273 7,875 2/15/2021 0000 4/12/2001 97.8040750 5/15/2003 11146 8.125 5/15/0021 8/2000 99,699 14.250 2/15/2002 109.434 500 131/2001 99.707 6.375 000 /200 98.490 .62 130/2002 100. /9/2001 97,686 5,300 531/2003 99,7428.125 8/15/202 000 4/26/2001 97.569 5.375 6/30/2003 99,461 8.000 11/15/202 00 4/30/2001 99.520 5.250 8/15/2003 99,148 7,250 8/15/2022 0 50 974714.250 11/15/2003 96.355 7,625 1/15/2022 /10/200197,359 .0 2/15/2004 97527 7.125 2/15/2023 16313 65 5/15/2001 9.750 $,250 5/15/2004 98.9696.250 8/15/2023 3/1T/2001 97.245 6.000 8/15/2004 101.434 7500 11/15/2024 000 5/24/2001 97,142 5.875 11/15/2004 101 0867,625 2/15/2025 0000 5/31/2001 97.032 7.500 2/15/2005 107.125 6.875 8/15/2025 0000 6/2001 96,922 6,50D 5/15/2005 103.8676,000 2/15/2026 750 630/200 9.723 6.500 8152005 103930 630 8/152026 500 731/2001 99.5555.75 S0 11/15/2005 101 3446500 11/15/2026 109.533 .875 8/15/2001 101133 5,625 2/15/2006 100.324 6625 2/15/2027 ,000 8/30/200195.663 6,875 5/15/2006 106098 6375 8/15/2027 500 831/2001 99,5047,00 7/15/2006 106.750 6.125 11/15/2027 25 930/2001 99.563 6.500 10/1S2005 104 563 5.500 /15/2028 5,875 1ณ31/200199.789 6,2502/15/2007 103.555 5.250 11/15/2028 300 11/15/2001 101262 6.625 /15/2007 105.723 5.250 2/15/2029 000 11/29/200194,3686.125 8/15/2007 103.180 6125 R/15/2129
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The results are reported in the following Table Tt Yield ZtT Tt Yield ZtT Tt 7956 8456 0935 8706 1333 5393 0931 1414 5397 0927 1456 5398 0924 1500 540...View the full answer
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Fixed Income Securities Valuation Risk and Risk Management
ISBN: 978-0470109106
1st edition
Authors: Pietro Veronesi
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