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.
感觉C选项很不严谨啊，prepayment risk和Credit risk不能混淆呀，C选项这个等于把两个东西混在一起了
