"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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