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"Fixed Income":Introduction to Asset-Backed Securities
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Questions 1:
An investor who owns a mortgage pass-through security is exposed to extension risk, which is the risk that when interest rates:
A 、fall, the security will effectively have a shorter maturity than was anticipated at the time of purchase.
B 、rise, the security will effectively have a shorter maturity than was anticipated at the time of purchase.
C、 rise, the security will effectively have a longer maturity than was anticipated at the time of purchase.
Questions 2:
A synthetic collateralized debt obligation is a CDO backed by a portfolio of:
A、 leveraged bank loans.
B 、residential or commercial mortgage-backed securities.
C 、credit default swaps.
View answer resolution
【Answer to question 1】C
【analysis】
C is correct. Extension risk is the risk faced that when interest rates rise, fewer prepayments will occur because homeowners will be reluctant to give up the benefits of a contractual interest rate that is now lower than the market rate. As a result, the security becomes longer in maturity than anticipated at the time of purchase.
A is incorrect because extension risk is the risk faced that when interest rates rise (not fall), fewer prepayments will occur because homeowners are reluctant to give up the benefits of a contractual interest rate that is now lower than the market rate. As a result, the security becomes longer in maturity than anticipated at the time of purchase.
B is incorrect because extension risk is the risk faced that when interest rates rise, fewer prepayments will occur because homeowners are reluctant to give up the benefits of a contractual interest rate that is now lower than the market rate. As a result, the security becomes longer (not shorter) in maturity than anticipated at the time of purchase.
【Answer to question 2】C
【analysis】
C is correct. Synthetic collateralized debt obligations are CDOs that are backed by a portfolio of credit default swaps.
A is incorrect because CDOs backed by a portfolio of leveraged bank loans are collateralized loan obligations.
B is incorrect because CDOs backed by a portfolio of residential or commercial mortgage-backed securities are structured finance CDOs.
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