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kevinzhu · 2020年07月26日

问一道题:NO.PZ2017012501000009 [ CFA I ]

问题如下:

The longest-term tranche of a sequential-pay CMO is most likely to have the lowest: 

选项:

A.

average life. 

B.

extension risk.  

C.

contraction risk.

解释:

C is correct.

For a CMO with multiple sequential-pay tranches, the longest-term tranche will have the lowest contraction (prepayments greater than forecasted) risk because of the protection against this risk offered by the other tranches. The longest-term tranche is likely to have the highest average life and extension risk because it is the last tranche repaid in a sequential-pay tranche.

时间分层time tranching,longest term tranche是最后还款的那一层,该层的延期风险最大,缩期风险最小。 无法理解

1 个答案

吴昊_品职助教 · 2020年07月27日

同学你好:

按照到期时间不同进行分层,即Time tranching。longest term tranche,存续期最长,也就是最后还款的那一层,所以该层的延期风险最大,缩期风险最小。