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梦梦 · 2025年03月11日

老师好,关于这道题有几处不明白

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

老师好,

1、不应该负债端的成本高吗?因为底层资产利息更高?

2、C选项,超抵押是针对tranche总额吗?我看了下课程举的例子是,100m的资产,共发行90m。

3、D是啥意思?底层资产债务人要交保证金?

1 个答案

pzqa27 · 2025年03月11日

嗨,爱思考的PZer你好:


1、不应该负债端的成本高吗?因为底层资产利息更高?

SPV的资产端收益(如贷款利息)需高于负债端支付给证券的利息,差额形成超额利差(Excess Spread)。这一机制在扣除管理成本前确实存在,所以A是对的


2、C选项,超抵押是针对tranche总额吗?我看了下课程举的例子是,100m的资产,共发行90m。

我没太理解您想问什么,如果可以的话,您可以换种描述问题的方法。一般来说Overcollateralization有2种,一种是Hard OC,例如:资产池价值为1.2亿美元,但仅发行1亿美元证券(债务层级),剩余0.2亿美元差额即为硬OC。另一种是Soft OC利用资产池产生的超额利差(Excess Spread),逐步提升优先级债务保护。比如将部分利息收入用于提前偿还优先级债务,降低未偿本金余额。



3、D是啥意思?底层资产债务人要交保证金?

D说的是一种增信手段,叫Margin Step-up,通常表现为证券票面利率(Coupon)的阶梯式上浮。例如某ABS发行时约定:前3年票息为LIBOR+2%,若第3年末未赎回,则票息自动上调至LIBOR+3.5%。这种设计既为发行人保留再融资灵活性,又通过成本约束保护投资者利益。这个简单了解下即可。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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