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?