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jay1180 · 2022年11月05日

老师解释下B是啥行么,选对了,但不懂B在哪里出现。。

NO.PZ2018062012000010

问题如下:

Which of the tranches of a collateralized mortgage obligation (CMO) will have the lowest prepayment risk?

选项:

A.

A PAC tranches

B.

An inverse floating-rate tranche

C.

A support tranche

解释:

A is correct.

PAC tranches have protection against both extension risk and contraction risk, providing two-sided prepayment protection.
Support tranches expose investors to the highest level of prepayment risk and its promised interest rate is higher than the PAC tranche.
Because the inverse floater pays a lower rate when interest rates go up, thus amplifying interest rate risk.

考点:CMO

解析: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。PAC受到了有限的保护,抵御 extension risk 和 contraction risk,这种保护来自于support结构。相反,support tranche的两种风险是最大的。故A正确。

RT

1 个答案

吴昊_品职助教 · 2022年11月05日

嗨,从没放弃的小努力你好:


CMO结构中,可以将一个固定利率债券拆分成一个浮动利率债券和一个反向浮动债券。

逆向利率浮动证券(Inverse Floater)是一种息票利率coupon rate与市场利率成反方向变化的浮动利率证券。

拆出来的反向浮动债券就是inverse floating-rate tranche。

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2020-07-26 18:55 1 · 回答

    老师你好,这道题目之前有同学问了,但是我依然有疑问先看题目,题目问哪个分层使得投资者免于遭受prepayment risk。我选的C。就像何老师上课讲的,prepayment cash flow过多,support 把多余的都吸收了,自己承担了prepayment risk ; 当prepayment cash flow不够时,它把所有的prepayment cash flow都让给P,因此,真正起作用的应该是support tranche。这样理解对吗?P.S.  题目中support 的拼写错了,不是surpot,而是support

2018-09-18 10:29 1 · 回答

老师你好,这道题目是不是问哪个分层使得投资者免于遭受prepayment risk嚒,我觉得应该是c呀,就像老师上课讲的,cf过多,surport 把多余的都吸收了,自己承担了prepayment risk ,当cf不够时,它把所有的cf都让给P,所以我觉得应该选C,谢谢

2018-08-14 13:40 2 · 回答