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kevinzhu · 2020年07月26日

问一道题:NO.PZ2018062012000010 [ CFA I ]

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.

Planned amortization class (PAC) tranches have limited (but not complete) protection against both extension risk and contraction risk. This protection is provided by the support tranches. 这道题目的答案不理解 

1 个答案

吴昊_品职助教 · 2020年07月27日

同学你好:

Planned amortization class (PAC) tranches have limited (but not complete) protection against both extension risk and contraction risk. This protection is provided by the support tranches.同学,你写的这句话不在这道题的答案解释中。这句话也不难理解,PAC受到了有限的保护,抵御 extension risk and contraction risk,这种保护来自于support结构。有限的保护是因为一旦support这个保镖被打死了,PAC就不再会受到保护。

回到这道题,support tranches承担了所有的risk。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。所以PAC是受到保护的那一个,它的两种risk都是最小的。相反,support tranche的两种风险是最大的。

参考基础班讲义P243页。

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NO.PZ2018062012000010 问题如下 Whiof the tranches of a collateralizemortgage obligation (CMO) will have the lowest prepayment risk? A.A Ptranches B.inverse floating-rate tranche C.A support tranche A is correct.Ptranches have protection against both extension risk ancontraction risk, proving two-siprepayment protection.Support tranches expose investors to the highest level of prepayment risk anits promiseinterest rate is higher ththe Ptranche.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

2022-11-05 15:07 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