"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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