Do NAS tranches typically have: More or less contraction risk? More or less extension risk?
NAS tranche is a non-accelarating tranche. it will have less contraction and less extension risk. for the first 7 years - it will receive no prepayments. after that it will. so it has less contraction and extension risk. NAS Tranche > Sequential tranche > Non-NAS tranche when it comes to stability of average life of the tranche.
thanks