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Which of the following is not a potential benefit from a balance sheet CDO transaction?

A) Decrease regulatory capital.

B) Increase transparency of assets.

C) Raise WACC from decreasing agency costs.

D) Reduce the size of the balance sheet.

答案：C

解析：Reducing agency costs associated with poor project selection will decrease the WACC, thereby raising firm value.

How would you describe the typical price behavior of a low premium mortgage pass-through security?

A) It is similar to a U.S. Treasury bond

B) It is similar to a plain vanilla corporate bond

C) When interest rates fall, its price increase would exceed that of a comparable duration U.S. Treasury.

D) When interest rates fall, its price increase would lag that of a comparable duration U.S. Treasury.

答案：D

解析：Mortgage pass-through securities, unlike Treasuries or plain vanilla corporate bonds, have an embedded option allowing borrowers to repay the loan at any time.

When rates fail, the effective duration of these securities decreases because borrowers will refinance mortgages at lower rates (putting the loans back to the investors); but when interest rates increase, borrowers will hold on to mortgages longer than they otherwise would, resulting in an increase in the effective duration of the loans. This is reflected in the price/yield relationship as negative convexity.

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