NO.PZ2018062012000010
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.
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
