Exam 26: Securitization Index
Exam 1: Why Are Financial Institutions Special90 Questions
Exam 2: Deposit-Taking Institutions43 Questions
Exam 3: Finance Companies71 Questions
Exam 4: Securities, Brokerage, and Investment Banking91 Questions
Exam 5: Mutual Funds, Hedge Funds, and Pension Funds61 Questions
Exam 6: Insurance Companies80 Questions
Exam 7: Risks of Financial Institutions110 Questions
Exam 8: Interest Rate Risk I110 Questions
Exam 9: Interest Rate Risk II116 Questions
Exam 10: Credit Risk: Individual Loans112 Questions
Exam 11: Credit Risk: Loan Portfolio and Concentration Risk51 Questions
Exam 12: Liquidity Risk85 Questions
Exam 13: Foreign Exchange Risk87 Questions
Exam 14: Sovereign Risk89 Questions
Exam 15: Market Risk95 Questions
Exam 16: Off-Balance-Sheet Risk101 Questions
Exam 17: Technology and Other Operational Risks107 Questions
Exam 18: Liability and Liquidity Management38 Questions
Exam 19: Deposit Insurance and Other Liability Guarantees54 Questions
Exam 20: Capital Adequacy102 Questions
Exam 21: Product and Geographic Expansion114 Questions
Exam 22: Futures and Forwards234 Questions
Exam 23: Options, Caps, Floors, and Collars113 Questions
Exam 24: Swaps95 Questions
Exam 25: Loan Sales83 Questions
Exam 26: Securitization Index98 Questions
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Full amortization of a twenty-five-year fixed rate mortgage means that monthly payments are equal and include both principal and interest.
(True/False)
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Most mortgage-backed bond issues conducted by deposit-taking institutions are under-collateralized.
(True/False)
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The following information is for a collateralized mortgage obligation (CMO). Tranche A has a face value of $50 million and pays 6 percent annually. Tranche B has a face value of $50 million and pays 8 percent annually. All mortgages have maturities of 30 years. What are the principals outstanding on Tranches A and B, respectively, after the CMO distributes the $10 million of cash flows?
(Multiple Choice)
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A principal only (PO) mortgage-backed strip is attractive to investors who wish to speculate about decreasing interest rates.
(True/False)
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Prepayment risk means that realized cash flows on pass-through securities may be more than expected cash flows.
(True/False)
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The underlying NHA MBS 15-year mortgage pool has a principal amount of $50 million and an annual yield of 6 percent (paid monthly). Assume that there are no prepayments. What is the first monthly payment on the Principal Only (PO) strip?
(Multiple Choice)
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CMHC supports only those pools of mortgages that comprise mortgage loans whose default or credit risk is insured by other government agencies.
(True/False)
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Despite the complexity of measuring the risk of asset-backed securities, credit rating agencies continued to use their own measures to quantify risks involved.
(True/False)
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Overseas bank is pooling 50 similar and fully amortized mortgages into a pass-through security. The face value of each mortgage is $100,000 paying 180 monthly interest and principal payments at a fixed rate of 9 percent per annum. What is the monthly payment on the mortgage pass-through?
(Multiple Choice)
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When a Special Purpose Vehicle (SPV) creates asset-backed securities, the SPV retains ownership of the original assets.
(True/False)
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The securities that form a NHA CMHC pass-through are Treasury bonds, bills, and notes.
(True/False)
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One hundred identical mortgages are pooled together into a pass-through security. Each mortgage has a $150,000 principal, a fixed annual interest rate of 8 percent (paid monthly), and is fully amortized over a term of 30 years. What is the present value of the mortgage pass-through if the entire pool is repaid after two months and there is no change in interest rates?
(Multiple Choice)
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One hundred identical mortgages are pooled together into a pass-through security. Each mortgage has a $150,000 principal, a fixed annual interest rate of 8 percent (paid monthly), and is fully amortized over a term of 30 years. What is the weighted average life of the above mortgage pool?
(Multiple Choice)
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All else equal, advantages of a DTI operating as an asset broker in regard to mortgages includes all of the following EXCEPT
(Multiple Choice)
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A good news effect of increased mortgage prepayments on a mortgage pool caused by decreasing market interest rates includes the receipt of fewer scheduled interest payments.
(True/False)
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CMHC will securitize conventional mortgages issued by Canadian deposit-taking institutions.
(True/False)
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Overseas bank is pooling 50 similar and fully amortized mortgages into a pass-through security. The face value of each mortgage is $100,000 paying 180 monthly interest and principal payments at a fixed rate of 9 percent per annum. If the entire mortgage pool is repaid at the end of the second month, what is the weighted average life of the mortgage pool?
(Multiple Choice)
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The life of a Structured Investment Vehicle (SIV) is not tied to any particular asset class that it is responsible for securitizing.
(True/False)
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The three Canadian government agencies that sponsor the creation of mortgage-backed, pass through securities are: CMHC, FNMA, and CDIC.
(True/False)
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One cause of residential mortgage prepayment risk is the sale of the mortgaged property.
(True/False)
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