Q57. For collateralized mortgage obligations (CMOs), are prepayment risk and interest rate risk, respectively, different for the various classes ( tranches ) of bonds? Prepayment risk? Interest rate risk? A. NO NO B. NO YES C. YES NO D. YES YES
答案和详解如下：
Q57. D Study Session 15-67.i CMOs are structured so as to redistribute prepayment risk and interest rate among the different classes, or tranches, of bonds using rules for the distribution of interest and principal. For example, if there are there classes of bonds the distribution rules ensure that class of bonds receives all principal until they are completely paid off, then the next class of bonds receives all principal until they are paid off. Finally, the last class receives principal payments. Effectively, the first tranche has the shortest maturity (duration). Thus, prepayment risk and interest risk have been redistributed across the bond class with the first tranche experiencing the greatest prepayment risk and the tranche experiencing the most interest rate risk.
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发表于 2007-11-7 10:03
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