Introduction to Asset-Backed Securities

How Securitisation Works

WQ bank securitised some of its mortgage loans by setting up a separate entity. WQ bank is in this arrangement, the ______ of the securitisation?

How Securitisation Works

A mortgage-backed security is structured into 4 segments with different levels of yield. Such a structure is said to feature ______.

Residential Mortgage Loans

Sally is buying a new house and is considering whether to take a recourse loan or non-recourse loan. Which of the following is most likely the reason that she would consider a recourse loan?

Residential Mortgage Loans

Sally took a 10-year residential mortgage loan where she has to make a balloon payment at the end of the 10 years. The loan is least likely a

Residential Mortgage-Backed Securities

Which of the following is least likely a requirement to be considered a conforming mortgage to be securities under agency RMBS?

Residential Mortgage-Backed Securities

An RMBS has a conditional prepayment rate of 6%. Which of the following statements is most accurate?

Residential Mortgage-Backed Securities

A residential PAC CMO has an expected PSA of 150. Due to a drop in interest rate, the PSA of the CMO increased to 250. What is the most likely change in estimated life for the PAC and support tranches?

Commercial Mortgage-Backed Securities

Khalid is considering investing in a CMBS. Which of the following most likely has the lowest credit risk?

Which of the following is least subject to prepayment risk?

Non-Mortgage Asset-Backed Securities

An auto loan ABS has a credit enhancement feature that includes an excess spread account. This is an example of:

Non-Mortgage Asset-Backed Securities

For credit card ABS, which of the following payments do NOT go to the ABS investors during the lockout period?

Collateral Debt Obligations

Rank the following tranches for a CDO from the highest credit quality to the lowest. (Drag and drop)