Which of the following describes an interest rate swap?
A way of converting a liability from fixed to floating
B. A portfolio of forward rate agreements
C. An agreement to exchange interest at a fixed rate for interest at a floating rate
D. All of the above
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Which of the following is closest to the bid-offer spread on the swap rate for a plain vanilla interest rate swap?
A. 3 basis points
B. 8 basis points
C. 13 basis points
D. 18 basis points
Which of the following describes the waterfall typically used for mortgages pre-crisis?
A distribution of cash flows to tranches with priority given to tranche with the highest rating
B. A distribution of cash flows to tranches in proportion to their outstanding principals
C. A distribution of losses to tranches so that tranches bear losses in proportion to their outstanding principals
D. None of the above
Which of the following describes a subprime mortgage?
A. The rate of interest is less than the prime rate of interest
B. The loan-to-value ratio is below average
C. The life of the mortgage is less than 25 years
D. The credit risk is high
Which of the following describes a call option?
A. The right to buy an asset for a certain price
B. The obligation to buy an asset for a certain price
C. The right to sell an asset for a certain price
D. The obligation to sell an asset for a certain price
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