题目
Which of the following is most likely to exhibit a dollar value of an 01 (DV01) that is negative?
选项
A.Principal-only (PO) at high yields
B.Interest-only (IO) strip at low yields
C.Interest only (IO) strip at high yields
D.Planned amortization class (PAC) bond at low yields
答案
B
解析
When rates are very high and prepayments low, the PO is like a zero coupon bond, paying nothing until maturity. As rates fall and prepayments accelerate, the value of the PO rises dramatically. First, there is the usual effect that lower rates increase present values. Second, since the PO is like a zero coupon bond, it will be particularly sensitive to this effect. Third, as prepayments increase, some of the PO, which sells at a discount, is redeemed at par. Together, these three effects make PO prices particularly sensitive to interest rate changes.当利率非常高而提前偿付很低时，PO就像一个零息债券，直到到期才支付。随着利率下降，发生提前偿付，PO的价值大幅上升。首先，低利率通常会增加现值。其次，由于PO类似于零息债券，因此它对这种影响特别敏感。最后，随着提前偿付的增加，部分以折扣出售的PO将按面值赎回。这三种效应使PO的价格对利率变化特别敏感。