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Compare a CMO with A, B, Z to a CMO that has the same tranches but is backed by a larger pool of mortgages (and
Compare a CMO with A, B, Z to a CMO that has the same tranches but is backed by a larger pool of mortgages (and therefore has a residual). In a CMO with a residual:
Tranche A has a shorter duration and less inflation/interest rate risk | ||
Tranche B has a shorter duration and more inflation/interest rate risk | ||
Tranche B has a longer duration and more inflation/interest rate risk | ||
Tranche Z has more inflation/interest rate risk | ||
Tranche Z has less inflation/interest rate risk |
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