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kevinzhu · 2020年07月26日

问一道题:NO.PZ2018062012000014 [ CFA I ]

问题如下:

Which of the following statements regarding prepayment risk is least accurate?   

选项:

A.

Support tranches make investors face a high level of prepayment risk.     

B.

The creation of collateralized mortgage obligations(CMO)  can eliminate the prepayment risk.

C.

Prepayment reflects the amount and timing of the cash flows from a mortgage loan can't be known with certainty.

解释:

B is correct.

The collateralized mortgage obligations(CMO) can't change or eliminate prepayment risk, but can only distribute the various forms of the risk among different bond classes.

Support tranche absorbed prepayment risk in order to get a higher expected rate of return.

Prepayment risk is the uncertainty that the cash flows will be different from the scheduled cash flows as set forth in the loan agreement.

选项A不理解,Support tranches 是起保护垫的作用,怎么会make investors face a high level of prepayment risk? 

1 个答案

吴昊_品职助教 · 2020年07月27日

同学你好:

suppot结构是给PAC结构起保护作用,因为support tranches承担了所有的risk。因此为了追求高收益而主动承担prepayment risk的投资者最喜欢support结构。所以投资support结构的投资者,一定主动承担了很大的prepayment risk。