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noemie · 2021年10月14日

No.PZ2020033003000093 (选择题)

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:

A.

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.

B.

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

C.

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

D.

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

选项A可以解释一下么,谢谢

1 个答案

李坏_品职助教 · 2021年10月14日

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。


这句话的大概意思其实是说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。

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