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老师，各个选项可否详细解释一下，没太看懂，谢谢！

NO.PZ2020033003000093

问题如下：

In the process of structuring a securitization, credit enhancements are often applied. Which of the following statements is least accurate about credit enhancements?

选项：

The liability side of the SPV has a lower cost than the asset side of the SPV to create an excess spread prior to administration costs.

Credit enhancements play an important role in the securitization process for both the asset- backed security (ABS) and mortgage-backed security (MBS) issues.

To reduce the risk of the asset-backed security (ABS), over collateralized is often used in the most senior class of notes.

ABS issues may use a margin step-up that increases the coupon structure after a call date

解释：

C is correct.

考点：Credit enhancements

解析：

tranche的最底层才更需要overcollateralized来给信用进行增级，而不是C选项里的the most senior class

老师，各个选项可否详细解释一下，没太看懂，谢谢！

嗨，爱思考的PZer你好：

A说的是SPV的负债比资产的成本低，这样可以使得SPV整体拥有一个安全垫，这个安全垫可以覆盖掉管理成本。这个是对的，SPV要保持资产端的收益超过负债端的支出，这样才能支持运营。

B说信用增级在资产支持证券（ABS）和抵押贷款支持证券（MBS）的结构化过程中非常重要。它们通过减少投资者面临的风险，从而提高证券的信用评级和吸引力。这个说法也是准确的。

C说过度抵押（over-collateralization）通常指的是用的资产的价值超过发行的证券的总价值，以提供额外的信用支持。这个选项的错误在于，过度抵押通常在次级（或最低级）证券中使用，以提供保护和增级，而不是在最高级别（senior class）的证券中。最优先的证券通常不需要那么多的过度抵押，因为它们已经被认为是较低风险的。因此，这个选项是最不准确的。

D的出处是原版书P378：

这里只需要记住margin step-up是一种增信手段，能增强ABS的信用条件即可。

The lower the quality of the assets being securitised, the greater the need for credit enhancement. This is usually by some or all of the following methods:

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老师，各个选项可否详细解释一下，没太看懂，谢谢！

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