题目
A department store chain has a B1 rating from Moody’s and a B+ rating from S&P. Its balance sheet reflects a large number of receivables from shoppers who use the chain’s private label credit card. The firm has decided to raise much needed funds for renovation by securitizing these receivables. Which of the following scenarios is the most likely outcome?
选项
A.The bond issued in the securitization will be B1\/B+ rated because the department store chain is rated B1\/B+.
B.The asset-backed security (ABS) will have a senior tranche that is rated investment grade and whose face value is lower than the value of the receivables that were on the firm\u2019s balance sheet.
C.The asset-backed security (ABS) will be over collateralized with the receivables that had been on the firm\u2019s balance sheet and are now a liability of the special purpose entity (SPE).
D.The securitization will result in a bond with two tranches: one that is senior and receives a Ba3\/BB- rating and another that is junior and receives a B2\/B.
答案
B
解析
ABS bonds are rated with respect to the risk of the underlying assets (in these credit card receivables) not the risk of the originator of the assets. A large fraction of ABSs are structured with senior and sub tranches. The senior is usually AAA because it has the full backing of all the assets in the pool that the SPE owns, while the sub tranche only gets paid back if the senior tranche is paid in full. To ensure that the default risk is lower, the senior tranche is smaller than the pool of receivables backing the bond. If over collateralization is used, the collateral is an asset of the SPE not a liability. ABS债券是根据相关资产（在这些信用卡应收款中）的风险而不是资产发起方的风险来评级的。大部分的ABS由高级和次级付款构成。优先级通常为AAA，因为它拥有SPE拥有的资产池中所有资产的全额支持，而子级付款仅在优先级付款已全额支付时才得到偿还。为了确保降低违约风险，优先级债券的发行规模小于支持债券的应收账款池。 如果使用超额抵押，则抵押品是SPE的资产而不是负债。