NO.PZ2023052301000098
问题如下：
Which of the following provides call protection for CMBS investors at the structural level?
选项：
A.Defeasance
Prepayment lockout
Sequential-pay tranches
解释：
The correct answer is C. Structural call protection is achieved through sequential-pay tranches in the CMBS as a lower-rated tranche cannot be paid down until the higher-rated tranche is completely retired.
A is incorrect because defeasance provides call protection at the individual loan level. Defeasance allows prepayment, but the borrower must purchase a portfolio of government securities that fully replicates the cash flows of the remaining scheduled principal and interest payments, including the balloon loan balance, on the loan.
B is incorrect because prepayment lockout provides call protection at the individual loan level. Prepayment lockout is a contractual agreement that prohibits any prepayments during a specified period.
所以sequential 是不是保护了junior的prepayment risk但是反而增加了senior的prepayment risk