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吴超 Cassie · 2022年07月31日

A怎么理解?

NO.PZ2018053101000040

问题如下:

Which of the following statements is true regarding mortgage-backed securities?

选项:

A.Insurance companies prefer the first-loss tranche.

B.When interest rates rise, prepayments will likely accelerate.

C.When interest rates fall, the low-risk senior tranche will amortize more quickly.

解释:

C is correct. When interest rates decline, borrowers are likely to refinance their loans at a faster pace than before, resulting in faster amortization of each MBS tranche, including the senior tranche, which is the lowest-risk tranche.

A is incorrect because risk-averse investors, primarily insurance companies, prefer the lowest-risk tranches, which are the first to receive interest and principal. The junior-most tranche is referred to as the first-loss tranche. It is the highest-risk tranche and is the last to receive interest and principal distributions.

B is incorrect because when interest rates rise, prepayments will likely slow down, lengthening the duration of most MBS tranches. Prepayments will likely increase when interest rates decline, because borrowers are likely to refinance their loans at a faster pace.

保险公司不是在投资人出现损失的时候会承担赔付吗?

1 个答案

Lucky_品职助教 · 2022年07月31日

嗨,努力学习的PZer你好:


这里的保险公司是指保险资管,做投资业务的~

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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