题目
Which of the following statements is true regarding mortgage-backed securities?
选项
A.Insurance companies prefer the first-loss tranche.
B.When interest rates rise, prepayments will likely accelerate.
C.When interest rates fall, the low-risk senior tranche will amortize more quickly.
答案
C
解析
C is correct. When interest rates decline, borrowers are likely to refinance their loans at a faster pace than before, resulting in faster amortization of each MBS tranche, including the senior tranche, which is the lowest-risk tranche.A is incorrect because risk-averse investors, primarily insurance companies, prefer the lowest-risk tranches, which are the first to receive interest and principal. The junior-most tranche is referred to as the first-loss tranche. It is the highest-risk tranche and is the last to receive interest and principal distributions.B is incorrect because when interest rates rise, prepayments will likely slow down, lengthening the duration of most MBS tranches. Prepayments will likely increase when interest rates decline, because borrowers are likely to refinance their loans at a faster pace. ：C是正确的。当利率下降时，借款人可能会更快得进行再融资，导致MBS每个层级的摊销速度更快了，包括风险最低的高级层。A是不正确的，因为厌恶风险的投资者，主要是保险公司，更喜欢风险最低的部分，这些部分首先获得利息和本金。最次要的部分称为第一损失部分。这是风险最高的部分，也是最后一个获得利息和本金分配的部分。B是不正确的，因为当利率上升时，预付款可能会放缓，延长大多数MBS部分的期限。当利率下降时，预付款可能会增加，因为借款人可能会以更快的速度为贷款再融资。