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"Fixed Income":Fixed-Income Valuation
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Questions 1:
Residential mortgage-backed securities issued in the US by governmentsponsored enterprises are guaranteed by:
A 、the full faith and credit of the government.
B 、the government-sponsored enterprise.
C、 external credit enhancements.
Questions 2:
Consider a five-year option-free bond that is priced at a discount to par value. Assuming the discount rate does not change, one year from now the value of the bond will most likely:
A 、stay the same.
B、 decrease.
C、 increase.
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. For residential mortgage-backed securities (RMBS) issued by a GSE (government-sponsored enterprise), such as Fannie Mae and Freddie Mac, credit risk is reduced by the guarantee of the GSE itself.
A is incorrect because RMBS issued by a federally related institution, such as Ginnie Mae, are guaranteed by the full faith and credit of the government with respect to timely payment of principal and interest.
C is incorrect because RMBS issued by private entities are not guaranteed by a federal agency or GSE and use credit enhancements to reduce risk.
【Answer to question 2】C
【analysis】
C is correct. The bond is priced below its par value but will be worth exactly par value at maturity. Over time, assuming a stable discount rate, the value of the bond must rise so that it is equal to par at maturity. That is, the price is “pulled to par.”
A is incorrect because the bond’s value must rise over time to be equal to its par value.
B is incorrect because the bond’s value must rise over time to be equal to its par value.
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