题目
If interest rates increase, an investor who owns a mortgage pass-through security is most likely affected by:
选项
A.credit risk.
B.extension risk.
C.contraction risk.
答案
B
解析
： B is correct. Extension risk is the risk that when interest rate rise, fewer prepayments will occur. Homeowners will be reluctant to give up the benefit of a contractual interest rate that is lower. As a result, the mortgage pass-through security becomes longer in maturity than anticipated at the time of purchase. ： B是正确的。延期风险是指当利率上升时，预付款减少的风险。房主将不愿意放弃合同利率较低的好处。因此，抵押转嫁证券的到期时间比购买时预期的要长。