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我们 · 2021年03月25日

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  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2016082405000091

问题如下：

A major benefit of securitization for a financial institution is the ability to remove assets from the balance sheet, which lowers risk and the required regulatory capital. While a large portion of the risk is removed from the balance sheet the originating financial institution often maintains a portion of the risk. -Which of the following terms best identify the risk that is maintained by the originator?

选项：

A.

Correlation.

B.

Excess spread.

C.

First-loss piece.

D.

Guarantor of collateral value.

解释：

C The originator often maintains ownership of the first-loss piece, which is the class of assets with the lowest credit quality and is the most junior level where losses are first absorbed in the event of a default.

请问这个题是什么意思呢？

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1 个答案

品职答疑小助手雍 · 2021年03月27日

嗨，爱思考的PZer你好：


题目是说有些金融机构通过spv把一些资产（比如一些风险比较高的资产）转到表外，使资产负债表变得好看，但实际上这些资产的风险还是它自己承担的。题目就是问这些资产的风险依旧被金融机构承担的表现是什么，答案就是资产证券化中有时equity层或equity层的一部分，会被机构自留。因为equity层遇到风险时会被首先拿去挡子弹，所以这个被我们称为first-loss piece。

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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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