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早早 · 2022年11月12日

老师 cmo的提前还款顺序是什么

cmo tranche 分为class ABC,面对底层资产的提前还款,谁先被提前还款?


上课老师讲的是先是A-B-C,但是在做官网题的时候,答案中说的是先c-b-a.


具体题目如下:

Q. In a declining interest rate environment, compared with a CMO’s Class A tranche, its Class C tranche will be repaid:

  1. earlier.
  2. at the same pace.
  3. later

Solution

A is correct. Lower interest rates entice homeowners to pay off their mortgages early because they can refinance at lower rates. The most junior tranche in a CMO will bear the first wave of prepayments until that tranche has been completely repaid its full principal investment. At that point, the next tranche will bear prepayments until that tranche has been fully repaid. Therefore, the Class C tranche of a CMO will be repaid before the more senior Class A tranche.

B is incorrect because the tranches, which have different priorities of claims on the principal payments made by the underlying mortgages, will see prepayments allocated to the most junior tranches first and the most senior tranches last.

C is incorrect because the most junior tranche in a CMO will bear the first wave of prepayments until that tranche has been completely repaid its full principal investment. At that point, the next tranche will bear prepayments until that tranche has been fully repaid. Therefore, the Class C tranche will be repaid prior to, not after, the Class A tranche.

1 个答案

Lucky_品职助教 · 2022年11月15日

嗨,努力学习的PZer你好:


2021年考纲下,CMO的tranche划分自上而下分别是A tranche→B tranche→C tranche。即C层级在最底层,最先承担prepayment risk。A层级在最上层,最后承担风险。(与2021年讲义一致)

2022年考纲下:协会把各个tranche的顺序进行了调换,CMO的tranche划分自上而下分别是C tranche→B tranche→A tranche。即A层级在最底层,最先承担prepayment risk(一旦提前还款,就没利息可收了)。C层级在最上层,最后承担风险(最上面的拿固定收益,不受prepayment影响,就算有提前还款,照样收利息哦)。(与2022年的讲义一致)

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