老师求解~~

问题如下：

The longest-term tranche of a sequential-pay CMO is most likely to have the lowest:

选项：

A.

average life.

B.

extension risk.

C.

contraction risk.

解释：

C is correct.

For a CMO with multiple sequential-pay tranches, the longest-term tranche will have the lowest contraction (prepayments greater than forecasted) risk because of the protection against this risk offered by the other tranches. The longest-term tranche is likely to have the highest average life and extension risk because it is the last tranche repaid in a sequential-pay tranche.

考点：CMO

解析：longest term tranche是最后还款的那一层，该层的延期风险最大，缩期风险最小，故选项C正确。