Sequential CMO

question, payments, schedule, principal

The first tranche that is being paid out with principal payments is protected from extension risk, whereas the rest of the tranches are protected from contraction risk.

My question is HOW and WHY?

Is it because the first tranche is getting all the principal payments it want (according to schedule with no prepayment risk?)

相关主题：

. Mock 30, Question 114

. Question about bonds, not necessarily CFA question

. 求助：关于fixed income的principal paydown window

. Fixed Income 原版书 Reading50 P311 第38题

. CFA lv1-----FSA

Pegasus2008

CFA Candidates

Rank: 2

UID: 217794
帖子: 294
主题: 142
注册时间: 2011-5-24
最后登录: 2012-9-12

2^#

发表于 2011-7-11 19:28 | 只看该作者

any payment (regular + prepayment) would go to the first tranche. So it will get paid off faster. Likely to contract. Will never extend.

Depending on how big the tranche is - other tranches will have to wait to get their scheduled principal payments. So they are unlikely to contract.

CP

TOP

返回列表

上一主题：Schweser Flash cards

下一主题：memory refresher-active vs total risk

Sequential CMO

相关主题：

[收藏此主题] [关注此主题的新回复]

[通过 QQ、MSN 分享给朋友]