问题如下:
In a sequential-pay CMO, the longer-term tranche investors will have the lowest:
选项:
A. extension risk.
B. average life.
C. contraction risk.
解释:
C is correct.
For a sequential-pay CMO, the longer tranche term will lead to a lower contraction risk because of the protection against this risk offered by the other tranches. The longer-term tranche investor is likely to have a higher average life and extension risk because it is the last tranche repaid in a sequential-pay tranche.
这道题可以具体解释一下嘛。tranche是贷款中的一个分层。为什么long term tranche 本金还的慢一些,耗费时间久,所以有extension risk. 这个逻辑对吗? Short term tranche 短期的,本金换的快,有reinvt risk 为啥是contaction risk?