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JYJY · 2021年05月15日

为什么C不对?

NO.PZ2016031001000104

问题如下:

Which commercial mortgage-backed security (CMBS) characteristic causes a CMBS to trade more like a corporate bond than a residential mortgage-backed security (RMBS)?

选项:

A.

Call protection

B.

Internal credit enhancement

C.

Debt-service coverage ratio level

解释:

A is correct.

With CMBS, investors have considerable call protection. An investor in a RMBS is exposed to considerable prepayment risk, but with CMBS, call protection is available to the investor at the structure and loan level. The call protection results in CMBS trading in the market more like a corporate bond than a RMBS. Both internal credit enhancement and the debt-service coverage (DSC) ratio address credit risk, not prepayment risk.

我的理解是CMBS和RMBS哪个更像公司债取决于两者的CF来源

RMBS来源于房贷 是borrower本身的现金流

CMBS基于property经营所得的CF 公司债也是基于公司经营所得的CF

所以选的C C里面提到了net operating income

这个想法为啥不对?题目也没明说到底是公司债的什么性质 这题感觉没说明白

1 个答案
已采纳答案

吴昊_品职助教 · 2021年05月15日

嗨,爱思考的PZer你好:


同学你好:

这道题问的是CMBS有了下列哪个特性之后,更像公司债,而不是RMBS。

公司债有credit risk,没有prepayment risk(没有特别强调是callable bond),而RMBS是有prepayment risk,同时,agency RMBS几乎不考虑credit risk。

如果含有call protection的CMBS,就相当于把提前偿还的风险cover住了,所以此时更像公司债而不像RMBS。所以选A。

这道题收录在咱们基础班了,同学不妨可以去听一下何老师的讲解。

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2023-04-28 18:45 1 · 回答

麻烦问下,公司债也有call protection,从而避免提前偿还吗?

2019-10-21 19:34 1 · 回答

老师知识点有点混淆rmbs是有call option CMbs是有call protection么?

2019-04-08 16:48 1 · 回答

    你好,这道题目为什么选A,谢谢

2018-11-14 20:37 1 · 回答