[2008] Topic 54: Securitization 相关习题 all, following, describe, existing, process

wanganjie

 

AIM 1: Define securitization and describe the process and the role the participants play.

1、Which of the following scenarios has the most favorable effect on an originator’s financial condition?

A) A true sale of all assets where proceeds are used to issue new securities.

B) A sale with subordinated tranche retention used to pay off existing debt.

C) A true sale of all assets where proceeds are used to pay off existing debt.

D) A sale with subordinated tranche retention used to purchase Treasury securities.

likaiba

 

The correct answer is A

ABCP trade in illiquid markets, involve multi-sellers and face significant liquidity risk.

likaiba

 

2、Which of the following statements about mortgage-backed securities is FALSE?

A) MBS utilize minimal credit enhancement. 

B) MBS bear minimal credit risk. 

C) CMOs distribute prepayment risk evenly across different tranches. 

D) MBS face significant prepayment risk. 

likaiba

 

The correct answer is C

CMOs distribute prepayment risk differentially across security holders.

likaiba

 

6、Which of the following is least likely an example of internal credit enhancement?

A) Bond insurance.

B) Cash reserve funds.

C) Excess servicing spread accounts.

D) Over-collateralization.

likaiba

 

The correct answer is A

Bond insurance is an example of external, not internal, credit enhancement.

likaiba

 

AIM 7: Discuss the securitization process for mortgage-backed securities and asset-backed commercial paper.

1、The typical asset-backed commercial paper (ABCP) securitization:

A) continually purchases assets and issues notes. 

B) trade in active secondary markets. 

C) faces minimal liquidity risk. 

D) involves single-sellers of receivables. 

wanganjie

 

The correct answer is C

Credit enhancement for asset-backed securities (ABSs) is typically achieved through overcollateralization, an excess spread between payments promised and payments to be received, creation of a subordinated tranche to bear default risk, or provision of a third-party guarantee.

wanganjie

 

The correct answer is A

Excess spread is a form of internal credit enhancement where the differential cash flows between the SPE assets and liabilities is diverted to provide support against shortfalls.

wanganjie

 

4、There is difficulty in achieving risk transfer from securitized assets sold through all of the following EXCEPT:

A) first-loss retention. 

B) true sale.

C) overcollateralization.

D) credit enhancement.