Bộ Tài chính Mỹ TEY = YTM ÷ (1 - thuế suất thuế nhà nước) tóm tắt, trái phiếu kho bạc Mỹ là miễn phí từ thuế nhà nước. Thành phố không được miễn phí từ thuế liên bang và hầu hết các tiểu bang miễn phí từ nhà nước tính thuế (những vấn đề riêng của họ). | Why MBSs Yield More 77 FIGURE Principal erosion decreases income. Drawing by Steven Saltzgiver. 78 MORTGAGE-BACKED BONDS TABLE Decreasing Income Month Loan Face Value Income Earned 25 000 2 January 24 875 2 February 24 775 2 March 24 575 2 April 23 575 2 volatility the characteristic of having up and down changes. A pool s average life can change with changes in interest rates. In the summer of 2002 the Lehman Brothers Mortgage index had an average maturity of years. A 30-year MBS with a 6 coupon had an average life of years while a 30-year MBS with a 61 2 coupon had a average life. The longer the security s average life the more price volatility it will have. The shorter the average life the lower the security s price volatility for a given change in interest rates. This is like a diver bouncing on the end of a diving board. The shorter the board is the smaller the arc from top to bottom of the board s bounce. The longer the board the greater the distance between the tip of the board s high point and low point as the diver bounces on the end. See Figure . Since how quickly homeowners prepay their mortgages changes with interest rates so does the MBS s average life. As interest rates drop and homeowners refinance more often the average life shortens because you are getting your principal back more quickly. So the expectation about how long the time will be before half of the principal is returned to you is shorter. The expected yield drops because it is projected you ll have less principal remaining to earn you interest. As interest rates rise prepayments slow. The average life extends out into the future. It then is expected that it will take longer before half the face value is paid out to you. Why MBSs Yield More FIGURE Longer average life maturity more volatility. Drawing by Steven Saltzgiver. Negative Convexity Besides the yield being affected the problem with this shortening and lengthening
