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- 2011-7-11
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Accrual tranches and prepayment risk
| According to the solution to EOC problem 27 in reading 57, the presence of an accrual tranche does not impact prepayment risk. How can that be? Accrual tranches get paid principal after everyone else, so aren't they laying off contraction risk to the other tranches in exchange for extension risk? |
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发表于 2011-7-13 16:49
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