这道题的问法

问题如下：

For a CMO that includes Planned Amortization Class (PAC) tranches, if the prepayment rate is within the anticipated range, which of the following tranches most likely protects investors from prepayment risk?

选项：

A.

PAC tranche

B.

Senior tranche

C.

Support tranche

解释：

The correct answer is C. If the prepayment rate is within the specified range, all prepayment risk is absorbed by the support tranche. This provides greater predictability of the size and timing of cash flows paid to investors in the PAC tranches.

A is incorrect because in a CMO that includes a PAC tranche, the PAC tranche is protected from prepayment risk because all prepayment risk is absorbed by the support tranche.

B is incorrect because in a CMO that includes a PAC tranche, the senior (PAC) tranche is protected from prepayment risk because all prepayment risk is absorbed by the support tranche.