Question
If a CMO has 3 tranches, A, B, and Z (an accrual tranche), as well as a residual class, answer the following question? If the
If a CMO has 3 tranches, A, B, 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?
| a.Increase | ||
| b. | Decrease | |
| c. | Stay the same | |
| d. | Cannot be determined from information given |
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Investment Risk Management
Authors: Yen Yee Chong
1st Edition
0470849517, 9780470849514
