这个例子问的是远期合约交割日那天做估值是吗？不是T0看T90那天的现金流对吧？

请问这个例子里的r=5%中的r，是即期汇率还是3M远期汇率？

01.单选题 已收藏 标记 纠错 A fixed income portfolio manager is evaluating investments in the mortgage market but is concerned about prepayment risk. The security that will most likely minimize prepayment risk is: A a mortgage passthrough security. B a portfolio of interest-only mortgage loans. C tranche B of a collateralized mortgage obligation. 查看解析 下一题 正确答案C 您的答案B本题平均正确率：52% Prepayment risk难度：困难 推荐：      答案解析 A collateralized mortgage obligation or CMO, is structured to distribute prepayment risk among different classes or tranches of bonds. Tranche A would be repaid first, followed by tranche B, then C, etc.. 问： 1.选项B:a portfolio of interest-only mortgage loan 是什么东西？结构是什么样子的？

请问老师，bootstrip这个方法怎么在实践中应用，比如已经隔夜par rate如何推导出discount factor和spot rate，谢谢！

融资租赁的cfo比经营租赁的cfo要少，但为什么老师说是融资租赁下的cfo来得高呢？

03.单选题 已收藏 标记 纠错 According to the following statements about auto loan Receivable-backed securities, which statement is not correct? A A subprime loan is one granted to borrowers with higher credit quality. B The purpose of a reserve account is to provide internal credit enhancement. C Overcollateralization means that the aggregate principle balance of the automobile loan contracts exceeds the principle balance of the notes. 查看解析 上一题 下一题 正确答案A 您的答案A本题平均正确率：69% Non-mortgage asset-backed securities难度：一般 推荐：      答案解析 A subprime loan is one granted to borrowers with lower credit quality. 问：C这句话怎么翻译，怎么理解？ 我对过度抵押的理解是，我买了一辆车50w，抵押了我家的房子500w，但是和C应该没关系?C在说什么 请问？

01.单选题 已收藏 标记 纠错 The collateral for credit card receivable-backed securities are: A non-amortizing loans. B full-amortizing loans C mortgage-backed loans 查看解析 下一题 正确答案A 您的答案A本题平均正确率：79% Non-mortgage asset-backed securities难度：一般 推荐：      答案解析 The collateral for auto loan-backed securities are loans that fully amortize, however the collateral for credit card receivable-backed securities are non-amortizing loans. Auto loan-backed securities’ principle is distributed to the bond classes each month, and the amount of the outstanding pool balance declines over time. 问：这里说的 信用卡摊销 究竟是什么意思？ 比如：我信用卡额度1w 这个月刷了5000，我可以一次性 还清5000，也可以分期还款。请问这里说的摊销指什么，没有搞清楚在说哪一方

03.单选题 已收藏 标记 纠错 In the context of commercial mortgage-backed securities (CMBS) which of the following mechanisms is most likely a structural call protection? A Prepayment lockouts. B Yield maintenance charges. C Sequential-pay tranches. 查看解析 上一题 下一题 正确答案C 您的答案C本题平均正确率：56% CMBS难度：一般 推荐：      答案解析 C is correct. A structural call protection can be achieved in a CMBS when it is structured to have sequential-pay tranches by credit rating. A is incorrect because prepayment lockouts are a call protection mechanism offered to investors at the loan level. B is incorrect because yield maintenance charges are a call protection mechanism offered to investors at the loan level. 问：问题和本题可能没太大关联，maintain yield说的是折现，但是具体什么意思 怎么操作没有理解，可否简单解释一下？还有它贴现 是以哪个r贴现，怎么就能使投资人还是银行不损失？

02.单选题 已收藏 标记 纠错 According to the following statements, which statement is correct? A CMBS are securities backed by a pool of commercial mortgage loans on capital-gain-producing property. B The characteristic of call protection of CMBS makes CMBS to trade in the market more like corporate bonds than RMBS. C The call protection of CMBS has only one forms: at the structure level. 查看解析 上一题 下一题 正确答案B 您的答案B本题平均正确率：75% CMBS难度：一般 推荐：      答案解析 CMBS have considerable call protection, which allows CMBS to trade in the market more like corporate bonds than like RMBS. 问：C选项的两种 the structure level 和 loan level可否简单解释一下？

解析好像有点问题，计算步骤应该是[(100-96.5)/96.5]*(365/350)=3.78%, 答案没错。