Paul Blackburn is describing mortgage backed securities and makes the following statements: Statement 1: A mortgage pass-through security is formed by pooling a large number of mortgages and issuing certificates that represent ownership shares in the pool. Because each mortgage borrower has the right to prepay the mortgage, the value of a pass-through security behaves as if the security has an embedded put feature. Statement 2: A collateralized mortgage obligation with sequential tranches is created by pooling mortgage pass-through certificates. Securities are issued in different tranches that have proportionate claims on the cash flows from the pass-through certificates. Are Blackburn’s statements correct Statement 1Statement 2 （）①A. Correct Correct ②B. Correct Incorrect ③C. Incorrect Incorrect
A. ①
B. ②
C. ③
参考答案：C
解析：
Statement 1 is incorrect. A borrower who prepays a mortgage is in effect exercising a call option, similar to a corporate bond issuer who calls a bond and prepays the principal. Therefore the pool of mortgages and the securities created from it behave as if they had an embedded call feature. Statement 2 is incorrect. Sequential tranches issued as a collateralized mortgage obligation do not have proportionate claims on the cash flows from the pool. Instead they have sequential claims. The shortest-term tranche receives principal and interest payments until it is paid off. The cash flows then go to the second tranche until it is paid off, and so on. This structure allows securities with different timing and risk profiles to be issued from the same pool of certificates.