No.PZ2016031001000102 (选择题)

问题如下：

For a mortgage pass-through security, which of the following risks most likely increases as interest rates decline?

选项：

Balloon

Extension

Contraction

解释：

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.

考点：prepayment risk

解析：利率下降的时候，借款者倾向于提前还款，那么产生的是contraction risk，故选项C正确。