R63 练习: 固定收益证券化
考纲范围
Explain benefits of securitization for issuers, investors, economies, and financial markets.
Describe securitization, including the parties and the roles they play.
Describe typical credit enhancement structures used in securitizations.
Q1.
Which of the following statements related to the benefits of securitization is least likely correct?
A. Securitization helps asset owners increase the liquidity of financial assets.
B. Securitization lowers funding costs of borrowers.
C. Securitization allows the creditors of previous asset owners to achieve better legal claims on the underlying.
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答案：C
解析：证券化通过SPE实现了资产与原始所有者的破产隔离(bankruptcy remote)，因此原始资产所有者的债权人无法对已转让的底层资产主张权利，选项C是错误的。A和B是证券化的真正好处。
选项 判断 解析 A ✗ 证券化确实增加了金融资产的流动性 B ✗ 证券化确实降低了借款人的融资成本 C ✓ 证券化通过破产隔离使原始债权人无法追索底层资产，最不正确 关联：R63: 固定收益证券化
Q2.
Which of the following statements is least likely to be a benefit of securitization?
A. Investors can profit directly from exposure in bank loans without worrying about other operating risks of the bank.
B. Securitization can convert banks’ long-term loan assets into tradable bonds, thereby reducing liquidity risk in the financial market.
C. Securitization can eliminate the credit risk of underlying assets through credit tranching.
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答案：C
解析：证券化通过信用分层(credit tranching)重新分配信用风险，但不能消除(eliminate)底层资产的信用风险。风险被转移和重新分配给不同层级的投资者，但总风险并未消失。
选项 判断 解析 A ✗ 投资者确实可以直接获得贷款敞口收益 B ✗ 证券化确实可以将长期贷款转为可交易证券 C ✓ 证券化重新分配但不能消除信用风险，最不可能是好处 关联：R63: 固定收益证券化
Q3.
Which of the following roles is a bankruptcy-remote vehicle?
A. The originator.
B. The special purpose entity.
C. The servicer of the loans.
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答案：B
解析：特殊目的实体(SPE/SPV)是破产隔离载体(bankruptcy-remote vehicle)，将底层资产与原始发起人的破产风险隔离。发起人(originator)创建资产并转让给SPE，服务商(servicer)负责收取现金流。
选项 判断 解析 A ✗ originator是资产的原始创建者，不是破产隔离载体 B ✓ SPE是bankruptcy-remote vehicle，实现资产隔离 C ✗ servicer负责收款和管理，不是破产隔离载体 关联：R63: 固定收益证券化
Q4.
Many parties are involved in the securitization process to guarantee the completion of the transaction. Which of the following statement about these parties is incorrect?
A. The third parties include SPE, rating agencies, lawyers etc.
B. SPE is the issuer of the securities in securitization.
C. The functions of rating agencies in securitization are the same as those in standard bond issuance.
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答案：A
解析：SPE不是第三方(third party)，它是证券化交易的核心参与方（发行人）。第三方包括评级机构、律师、审计师等。SPE确实是证券化中证券的发行人。评级机构在证券化和标准债券发行中的功能基本相同。
选项 判断 解析 A ✓ SPE不是第三方，它是交易的核心参与方（发行人），不正确 B ✗ SPE确实是证券化中的发行人，正确 C ✗ 评级机构功能相似，正确 关联：R63: 固定收益证券化
Q5.
Jason is choosing credit enhancement methods for bond issuance. Which of the following related to financial guarantees is received from a third party?
A. Letter of credit
B. Excess spread
C. Subordination
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答案：A
解析：信用增强分为内部和外部两种。外部增信来自第三方：金融担保(financial guarantees by banks/insurance)、信用证(letters of credit)、现金担保账户(cash collateral accounts)。内部增信包括：超额抵押(overcollateralization)、超额利差(excess spread)、次级化(subordination/credit tranching)。
选项 判断 解析 A ✓ letter of credit是外部增信，由第三方（银行）提供 B ✗ excess spread是内部增信方式 C ✗ subordination是内部增信方式 关联：R63: 固定收益证券化