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Snow🍑🍳 · 2020年08月08日

问一道题:NO.PZ2018062012000015 [ CFA I ]

问题如下:

Which of the following statements is most likely the function of the collateralized mortgage obligations (CMOs) ?

选项:

A.

Reduce contraction risk in support tranches.     

B.

Reassign prepayment risk among tranches.

C.

Eliminate extension risk in PAC tranches.     

解释:

B is correct.

The creation of a CMO cannot eliminate or change prepayment risk; it can only distribute the various forms of this risk among different bond classes.

老师你好,c是错在eliminate这个词吗,就是不能消除只能降低?

1 个答案

WallE_品职答疑助手 · 2020年08月09日

同学你好,

是的,您可以从基础班讲义的P235页开始看,风险并没有消除,而是分层了(redistributed)。