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sarasara · 2020年07月31日

问一道题:NO.PZ2017012501000008 [ CFA I ]

问题如下:

Which of the following is most likely an advantage of collateralized mortgage obligations (CMOs)? CMOs can 

选项:

A.

eliminate prepayment risk.

B.

be created directly from a pool of mortgage loans 

C.

meet the asset/liability requirements of institutional investors.

解释:

C is correct.

Using CMOs, securities can be created to closely satisfy the asset/liability needs of institutional investors. The creation of a CMO cannot eliminate prepayment risk; it can only distribute the various forms of this risk among various classes of bondholders. The collateral of CMOs are mortgage-related products, not the mortgages themselves.

...这道题怎么理解呢

1 个答案

吴昊_品职助教 · 2020年07月31日

同学你好:

CMO就是把MBS打包重新分配现金流,然后在不同层里面重新分配prepayment risk,有些层次就能因此获得稳定的现金流,然后现金流金额也能定成Liability的现金流流出,所以机构可以用来做ALM管理,asset liability management。分完层之后,一些层现金流稳定,然后这些层就可以按照Liability现金流流出的金额和时间来构造,做匹配策略的投资者买了这只CMO资产,现金流就可以来匹配负债。这个可以当成结论简单记忆一下即可。