asset-nuances — Asset-Backed Securities Practice Questions

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1. Which explanation best identifies the additional spread components in the non-agency bond?
2. A portfolio of student loans originated before 2010 carries… — What is the specific name for this program?
3. A lender sells the guaranteed portion of an SBA 7(a) loan at… — If the loan prepays immediately (Month 1), how
4. A 10-year CMBS Interest-Only (IO) strip is being valued. If a large number of loans in the pool are 'defeased'
5. If a small business borrower defaults, what is the primary source of principal recovery for the bondholders?
6. If a conduit CMBS loan with a $50 million balance becomes 60 days delinquent, which transaction party is typic
7. In a conduit CMBS transaction with 60 loans, a property's De… — Who is this party?
8. An SBA guaranteed pool has a $100 million par value and is priced at 108. If the expected average life is 5.5
9. If the seller offers early payment discounts to its customers, this reduction in the receivable balance is cat
10. Why do auto loan ABS speeds typically remain stable or even increase slightly during a period of rising intere
11. What must the borrower provide to the trust to facilitate this?
12. A $100 million pool of SBA 7(a) loans is being securitized.… — In this context, what does graduation refer to?
13. Which structural feature in a Credit Card Master Trust is used specifically to defend excess spread when marke
14. A subprime HEL loan pool consists primarily of 2/28 hybrid A… — Why do these loans typically show a massive sp
15. In the SBA 7(a) secondary market, a pool consists of the 'gu… — Why does this pool carry essentially zero cred
16. If the CPR spikes from 10% to 30%, what is the primary risk to the investor's total return?
17. If truck resale prices collapse by 50%, which portion of the capital stack is most likely to experience a prin
18. In an equipment lease ABS, what is the key distinction between the credit analysis of a 'Finance Lease' versus
19. A CMBS 'Special Servicer' manages a defaulted loan. If the servicer elects a 'Workout' (modification) rather t
20. What is the primary risk to the transaction?
21. In a CMBS structure, the 'Special Servicer' is tasked with w… — Who has the right to approve or reject this pr
22. A pool of manufactured housing (MH) ABS is being evaluated.… — What does this imply for the investor's analysi
23. What is the most likely impact on the value of the IO tranche?
24. An investor holds a Z-bond in a CMO structure. Which of the following best describes the cash flow profile of
25. A manufactured housing (MH) ABS structure features an 'Exten… — Why is this period typically 10 years compared
26. If the dilution trigger is set at 5%, and a manufacturer experiences a sudden 6% dilution in one month due to
27. An investor is evaluating a CMBS IO (Interest-Only) tranche… — How does this trend specifically affect the IO
28. If same-store sales drop 15%, causing NOI to fall from $40M to $34M, while annual debt service is $18M, what i
29. Compare the 'Negative Convexity' risk of an Agency MBS pool to a Prime Auto ABS pool during a period of rapidl
30. An investor holds a CMBS Interest-Only (IO) tranche. Which of the following events would most likely cause an