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LOS c: Contrast an individual mortgage security to a Treasury security with respect to the importance of yield curve risk.
Q1. When comparing the number of key rates needed in hedging a mortgage security versus a Treasury security, we generally need to consider:
A) more key rates for the mortgage security because it lacks a bullet payment at maturity.
B) more key rates for the mortgage security because of its bullet payment at maturity.
C) fewer key rates for the mortgage security because it lacks a bullet payment at maturity.
Q2. When compared to a Treasury security, the key durations of a mortgage security are:
A) more in number and can be negative or positive while those of Treasury securities can only be positive.
B) more in number and can only be positive while those of Treasury securities can be negative.
C) fewer in number can be positive or negative while those of Treasury securities can only be positive.
Q3. When compared to a Treasury security, the yield curve risk of a mortgage security is generally:
A) more important and increases in importance for non-parallel shifts of the yield curve.
B) more important and decreases in importance for non-parallel shifts of the yield curve.
C) less important and increases in importance for non-parallel shifts of the yield curve. | 
发表于 2009-3-6 11:09
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