题目
The price to yield function of mortgage-backed securities (MBS) exhibits negative convexity because:
选项
A.they are usually purchased at a premium.
B.the probability of default is higher than a unsecured debenture.
C.the Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC) do not have the same credit standing as a direct U.S. obligation.
D.mortgage borrowers have a prepayment option.
答案
D
解析
The prepayment option embedded in mortgage securities leads to shorter durations when yields fall (because mortgage holders exercise their prepayment option) and higher durations when yields rise.当收益率下降时(因为抵押贷款持有人行使了他们的提前支付的权利)，抵押贷款证券中的提前支付期权会导致较短的期限，当收益率上升时，会导致较长的期限。