题目
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
答案
C
解析
： 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. ： C是正确的。当利率下降时，抵押贷款转嫁证券将面临收缩风险。收缩风险是指当利率下降时，实际预付款将高于预期的风险，因为借款人将以现在可用的较低利率进行再融资。因此，抵押担保证券的到期日将比购买该证券时预期的短。