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Ivy Ivy · 2021年11月09日

能否解释一下D 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:

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

能否解释一下D 谢谢~
1 个答案

李坏_品职助教 · 2021年11月09日

嗨,努力学习的PZer你好:


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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努力的时光都是限量版,加油!

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