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大宁410 · 2021年03月04日

这道题为什么选b

NO.PZ2018062012000005

问题如下:

From the lender's perspective, when the interest rates rises, which risk of the mortgage securities is most likely to confront with:

选项:

A.

yield maintenance.

B.

extension risk.

C.

contraction risk.

解释:

B is correct.

When interest rates rise, homeowners are unwilling to give up the benefits of the contractual interest rate that now looks low, so the prepayments will be lower than expected. The security backed by mortgages will have longer maturity than was anticipated at the time of purchase. The risk under such circumstances is extension risk. The contraction risk is when the interest rate decline, actual prepayments will be higher than expected, the security backed by mortgages will have shorter maturity than was anticipated at the time of purchase.

这道题为什么选b呢?
1 个答案

吴昊_品职助教 · 2021年03月04日

嗨,爱思考的PZer你好:


同学你好:

Extension risk是因为贷款的提前偿还速度没有达到之前预设的提前还款速度,导致证券化的产品的偿还速度没有预设快,产品Maturity被拉长。当利率上升的时候,因为借款人不愿意放弃比现行利率更低的合同贷款利率,从而主动降低其提前还款速度,因此发生extension risk,所以选B。相反,当市场利率下降时,contraction risk 发生,这时提前还款速度上升,因为借款者可能会以更低的利率向银行借钱还款。

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