NO.PZ2018053101000040
问题如下：
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.解释：
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.
这部分内容有点混了。
比如senior tranch优先偿还，是最上面一层的。
但是在PAC结构中，是最下面一层的最先偿还，有prepayment risk 。
还有就是想问一下 low-risk senior tranche will amortize more quickly这个amortize跟prepayment是一个意思么？
