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朱明远 · 2021年10月19日

No.PZ2016031001000102 (选择题)

NO.PZ2016031001000102

问题如下:

For a mortgage pass-through security, which of the following risks most likely increases as interest rates decline?

选项:

A.

Balloon

B.

Extension

C.

Contraction

解释:

C is correct.

When interest rates decline, a mortgage pass-through security is subject to contraction risk. Contraction risk is the risk that when interest rates decline, actual prepayments will be higher than forecasted because borrowers will refinance at now-available lower interest rates. Thus, a security backed by mortgages will have a shorter maturity than was anticipated when the security was purchased.

考点:prepayment risk

解析:利率下降的时候,借款者倾向于提前还款,那么产生的是contraction risk,故选项C正确。

mortgage pass-through security这个概念是什么意思呢?

1 个答案

吴昊_品职助教 · 2021年10月19日

嗨,努力学习的PZer你好:


mortgage pass-through securities就是MPS。

MBS分成agency和non-agency,agency是房利美等三大机构发行的,三大机构有政府的信用做担保,没有credit risk。agency MBS如果不分层只是简单分割,那就是MPS;如果MPS分层,那就是CMO。

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