商业银行组合管理(1)---可赎回证券

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u x0Callable securities can present opportunities or risks depending on how our bank predicts   interest rates’ future movements. If the rates are falling, the callables in banks' portfolio have little to no gains. However, if the rates are rising, most callables will outperform bullet securities. 中国华尔街博客空间q
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Callable securities give issuers the right to call away the security prior to maturity. An issuer will exercise this right when rates fall as it can re-issue the security at a lower funding cost. 中国华尔街博客空间1Np#N']fuy;As
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If rates would follow a downtrend, bullet securities will outperform. Vice versa---callable securities outperform bullets with equal maturities, especially those having the greatest amount of call optionality at the time of purchase.
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Callable securities have less of price depreciation in a rising rate environment. Theoretically, callables(where the coupons are close to market) have negative convexity in the base case scenario; the negative convexity decreases (and can turn positive) as interest rates rise.

At this jucture, if we foresee the rates are peaking, shall we allocate more portfolios into bullet securities? Will see...中国华尔街博客空间_!q`]b3I6y|