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Dang.D · 2022年05月09日

PAC是给investor提供保护了,那support是给谁提供保护了呢,给PAC么。

NO.PZ2017012501000010

问题如下:

The tranches in a collateralized mortgage obligation (CMO) that are most likely to provide protection for investors against both extension and contraction risk are:

选项:

A.

planned amortization class (PAC) tranches

B.

support tranches.

C.

sequential-pay tranches.

解释:

A is correct.

PAC tranches have limited (but not complete) protection against both extension risk and contraction risk. This protection is provided by the support tranches. A sequential-pay tranche can protect against either extension risk or contraction risk but not both of these risks. The CMO structure with sequential-pay tranches allows investors concerned about extension risk to invest in shorter-term tranches and those concerned about contraction risk to invest in the longer-term tranches.

考点:CMO

解析:support tranches承担了所有的风险,当本金偿还快于预期,support tranches会吸收掉所有超过预期的偿还部分;当本金偿还慢于预期,support tranches不接受任何本金偿还,全部让给PAC结构。因此,PAC是受到保护的那一个,它的两种风险都是最小的,故选项A正确。

我读题干的意思说的不就是support tranch的意思么

1 个答案
已采纳答案

吴昊_品职助教 · 2022年05月09日

嗨,爱思考的PZer你好:


给投资者提供保护的是PAC结构,对投资者来说,购买PAC结构,才有最小的extension risk和contraction risk。

support结构给PAC结构提供保护,但是我们投资者去买PAC结构相当于受到保护了,购买support结构不就是主动承担风险。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Lance · 2023年06月25日

买PAC是获得保护。 买support是承担更大风险。 support是不是带杠杆的啊 ? support的收益是u不是更大啊 。