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tango_gs

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tT
发表于 2011-7-11 19:59 | 只看该作者

Sequential Structure Confusion

reduce, however, principal
I read that sequential pay structures redistribute prepayment risk. The Z-tranche however does not reduce or even effect prepayment risk as it is simply the last bond to get back i. and principal. However the z-tranche or subordinate tranche can be apart of the sequential pay-structure...

Thanks.

 

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OmarAdnan

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发表于 2011-7-11 19:59 | 只看该作者
It's the zero-coupon bond of the structure...but it too can have contraction risk, so that you may not get the guaranteed return as you would on a zero-coupon bond, if prepayments are fast enough.

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