答案和详解如下： 1．Which of the following is the best description of cash reserve funds as an internal credit enhancement? Cash reserve funds are investments in: A) U.S. Treasury bonds created from issuance proceeds. B) money market instruments created from issuance proceeds. C) money market instruments created from interest rate hedging. D) money market instruments created from securitizing mortgages. The correct answer was B) Cash reserve funds are cash deposits that come from issuance proceeds. This excess cash provides for the establishment of a reserve account to pay for future losses. Cash reserve funds are usually used along with external credit enhancements. 2．Which of the following is least likely a common form of external credit enhancement? A) Bond insurance. B) Portfolio insurance. C) A corporate guarantee. D) A letter of credit from a bank. The correct answer was B) External credit enhancements are financial guarantees from third parties that generally support the performance of the bond. Portfolio insurance is not a third party guarantee. 3．Which of the following is the best description of excess servicing spread accounts as an internal credit enhancement? Excess servicing spread accounts involve the allocation of: A) all expenses into a separate reserve account. B) the servicing fee into a separate reserve account. C) excess cash into a separate reserve account after paying out coupon, servicing fee and other expenses. D) coupon payments into a separate reserve account. The correct answer was C) All excess cash is paid into the excess servicing spread account in order to be used to pay for possible future losses. 4．Which of the following is a disadvantage of bond insurance as an external credit enhancement? A) It covers only bond interest. B) It is only in force for part of the bond's life. C) Its cost. D) It only provides protection against systematic risk, not against idiosyncratic risk. The correct answer was C) Bond insurance provides for protection against losses when bonds default and includes both principal and interest payments. Issuers must weigh the costs of insurance against the decrease in required yield. 5．The master prospectus establishes the senior percentages in accordance with Table 1. Table 1 | Senior Prepayment Percentage | Years after Issuance | Senior Prepayment Percent | 1-5 | 100 | 6 | 70 | 7 | 60 | 8 | 40 | 9 | 20 | after year 9 | 0 |
The structure for an Asset backed security (ABS) is: Senior tranche
| $190 million | Subordinated tranche 1 | $20 million | Subordinated tranche 2 | $10 million |
The value of the collateral for the structure is $220 million and subordinated tranche 2 is the first loss tranche. In accordance with the senior repayment percentage presented in Table 1, if prepayments in month 110 (after year 9) are $5 million the senior tranche is paid: A) $0 million. B) $1 million. C) $5 million. D) $50 million. The correct answer was A) If prepayments in month 110 total $5 million, the amount paid to the senior tranche in accordance with Table 1 senior prepayment percentage is $0 million. | 
发表于 2008-5-20 15:15
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