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