R64 练习: 资产支持证券
考纲范围
Describe characteristics and risks of covered bonds and how they differ from other asset-backed securities.
Describe types and characteristics of non-mortgage asset-backed securities, including the cash flows and risks of each type.
Describe collateralized debt obligations, including their cash flows and risks.
Q1.
Archana made the following statements about covered bonds and asset-backed securities (ABS):
Statement 1: Both covered bonds and ABS offer investors dual recourse.
Statement 2: Compared to a similar ABS, covered bonds provide a lower yield.
Statement 3: Covered bonds have a static cover pool, while ABS have a dynamic asset pool.
Which of the following statements about covered bonds and asset-backed securities (ABS) is most accurate?
A. Statement 1
B. Statement 2
C. Statement 3
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答案：B
解析：Covered bonds提供双重追索权(dual recourse)——投资者既可以追索底层资产池，也可以追索发行人，因此风险更低，收益率也更低。但Statement 1的问题在于ABS不提供dual recourse（ABS通过SPE实现破产隔离，只能追索底层资产）。Covered bonds通常有动态资产池（非静态）。
选项 判断 解析 A ✗ ABS不提供dual recourse，只有covered bonds有 B ✓ covered bonds风险更低，收益率确实低于类似ABS C ✗ covered bonds通常有动态cover pool（发行人需维护），说反了 关联：R64: 资产支持证券
Q2.
Which of the following statements is not a feature of the credit card receivable ABS?
A. The cash flows of a credit card receivables pool consist of finance charges collected, fees, and principal repayments.
B. The collateral of credit card receivable ABS is a pool of non-amortizing loans, which means only the finance charge and fees can be paid before the lockout period ends.
C. In credit card receivable ABS, the principal can never be prepaid.
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答案：C
解析：信用卡应收账款ABS有lockout/revolving period，在此期间本金偿还被再投资到新的应收账款中。但这不意味着本金永远不能提前偿付——lockout期结束后，本金开始偿还给投资者。说”never”太绝对。
选项 判断 解析 A ✗ 信用卡应收账款的现金流确实包括finance charges、fees和principal B ✗ lockout期间确实只支付利息费用，本金被再循环 C ✓ 本金在lockout期后会偿还，“never”说法错误 关联：R64: 资产支持证券
Q3.
Which of the following statements concerning solar ABS is most likely incorrect?
A. Solar ABS offer ESG benefits as well as attractive risk-adjusted returns.
B. Solar ABS are backed by solar loans or solar leases.
C. The proceeds of solar ABS can be directed to any financially sound project.
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答案：C
解析：Solar ABS的收益专门用于太阳能相关项目，不能用于任何项目。Solar ABS确实提供ESG效益和有吸引力的风险调整收益，且以太阳能贷款或太阳能租赁为支撑。
选项 判断 解析 A ✗ solar ABS确实具有ESG和回报优势 B ✗ solar ABS确实以太阳能贷款/租赁为底层资产 C ✓ 收益不能用于任何项目，必须用于太阳能相关项目 关联：R64: 资产支持证券
Q4.
Which of the following restrictions would collateralized debt obligations (CDOs) impose to CDOs managers?
A. CDOs managers must offer higher return for the senior tranches than for the equity tranches.
B. CDOs set pre-specified tests, and if the tests failed, the CDO manager can only use generated cash flow to pay off the senior tranches.
C. Leverage is not allowed in a CDO transaction.
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答案：B
解析：CDO设有预先设定的测试（如overcollateralization test和interest coverage test），如果测试失败，CDO管理人只能将现金流用于偿付优先级最高的层级(senior tranches)。CDO实际上使用了杠杆，且senior tranches回报低于equity tranches。
选项 判断 解析 A ✗ senior tranches回报低于equity tranches（风险越低收益越低） B ✓ 测试失败时，现金流必须先偿付senior tranches C ✗ CDO交易中可以使用杠杆 关联：R64: 资产支持证券
Q5.
Compared with more senior tranches, the subordinate bond class in a collateralized debt obligation least likely:
A. provides investors highly variable returns.
B. provides holders more equity-like returns.
C. generates returns from a static collateral pool.
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答案：C
解析：CDO通常有主动管理的资产池(actively managed)，而非静态池。次级层确实提供高度可变的回报(A)和类似股权的回报(B)，因为它承担最多的风险和潜在收益。
选项 判断 解析 A ✗ 次级层确实提供高度可变的回报 B ✗ 次级层确实具有equity-like returns特征 C ✓ CDO通常是主动管理的，非静态资产池，最不可能 关联：R64: 资产支持证券