Mar

15

“In a ZIRP/NIRP world, every asset feels like a [principal only] PO, and there are scant [interest only] IO assets,” notes our old pal Nom de Plumber, a senior risk manager with a penchant for suing federal agencies. “So, assets generally behave in a digital manner, ping-ponging between 0:00 (extension and default) and 100:00 (prepayment), as you illustrate via accounting treatment. And market volatility and illiquidity go in tandem. Thank you.” 

- Chris Whalen The IRA Analyst

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