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kevinzhu · 2020年07月26日

问一道题：NO.PZ2018062012000010 [ CFA I ]

  1. CFA I
  2. Fixed Income

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 

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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