Question
A CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a residual class. If the prepayment in the pool of
A CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a residual class. If the prepayment in the pool of mortgages that supports the CMO increased from CPR 5% to CPR 10%, what would happen to the expected maturity of the B class?
Remain the same
Cannot be determined with the information given
Decrease
Increase
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Financial Accounting The Impact On Decision Makers
Authors: Gary A Porter, Curtis L Norton
7th Edition
1439080526, 9781439080528
