题目
The tranches in a collateralized mortgage obligation (CMO) that are most likely to provide protection for investors against both extension and contraction risk are:
选项
A.planned amortization class (PAC) tranches.
B.support tranches.
C.sequential-pay tranches.
答案
A
解析
： A is correct. PAC tranches have limited (but not complete) protection against both extension risk and contraction risk. This protection is provided by the support tranches. A sequential-pay tranche can protect against either extension risk or contraction risk but not both of these risks. The CMO structure with sequential-pay tranches allows investors concerned about extension risk to invest in shorter-term tranches and those concerned about contraction risk to invest in the longer-term tranches. ： A是正确的。PAC层级对扩展风险和收缩风险的保护有限（但不完全）。这种保护由支持层级提供。连续支付层级可以防范延期风险或收缩风险，但不能同时防范这两种风险。具有连续支付层级的CMO结构允许关注延期风险的投资者投资于短期层级，而关注收缩风险的投资者投资于长期层级。