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If a CMO has 3 tranches, A , B , and Z ( an accrual tranche ) , as well as a residual class, answer

If a CMO has

3

tranches, A

,

,

and Z

(

an accrual tranche

),

as well as a residual class, answer the following question?

If the prepayment on a pool of mortgages decreases from CPR

10 %

to CPR

5 %,

what would happen to the expected maturity of the A class?

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