2023年商業(yè)銀行管理彼得S.羅斯英文原書(shū)第8版英語(yǔ)試題

Chapter9RiskManagement:Asset-BackedSecurities,LoanSales,CreditStandbys,andCreditDerivativesFillintheBlankQuestions 1. Whenabanksetsasideagroupofincome-earningassetsandthensellssecuritiesbaseduponthoseassetsitis________________________thoseassets.Answer:securitizing 2. Oftenwhenloansaresecuritizedtheyarepassedontoa_________________________whopoolstheloansandsellssecurities.Answer:specialpurposeentity 3. A(n)_________________________allowsahomeownertoborrowagainsttheresidualvalueoftheirresidence.Answer:homeequityloan 4. _________________________allowthebanktogeneratefeeincomeaftertheyhavesoldaloan.Thebankcontinuestocollectinterestandprincipalfromtheborrowersandpassesthesecollectionstotheloanbuyers.Answer:Servicingrights 5. Ina_________________________anoutsiderpurchasespartofaloanfromthesellingfinancialinstitution.Generallythepurchaserhasnoinfluenceoverthetermsoftheloancontract.Answer:participationloan 6. A(n)_________________________isacontingentclaimofthebankthatissuesit.Theissuingbank,inreturnforafee,guaranteestherepaymentofaloanreceivedbyitscustomerorthefulfillmentofacontractmadebyitscustomertoathirdparty.Answer:standbycreditagreement 7. A(n)_________________________occurswhentwobanksagreetoexchangeaportionoralloftheloanrepaymentsoftheircustomers.Answer:creditswap 8. A(n)__________________guardsagainstthelossesinthevalueofacreditasset.Itwouldpayoffiftheassetdeclinessignificantlyinvalueorifitcompletelyturnsbad.Answer:creditoption.

9. A(n)_________________________combinesanormaldebtinstrumentwithacreditoption.Itallowstheissuerofthedebtinstrumenttoloweritsloanrepaymentsifsomesignificantfactorchanges.Answer:creditlinkednote 10. The_________________________ofastandbyletterofcreditisabankorotherinvestorwhoisconcernedaboutthesafetyoffundscommittedtotherecipientofthestandbyletterofcredit.Answer:beneficiary 11. A(n)_________________________guaranteestheswappartiesaspecificrateofreturnontheircreditasset.BankAmayagreetopaythetotalreturnontheloantoBankBplusanyappreciationinthemarketvalueoftheloan.InreturnBankAwilloftengetLIBORplusafixedspreadplusanydepreciationinthevalueoftheloan.Answer:totalreturnswap 12. The________________________isthepartythatisrequestingastandbyletterofcredit.Answer:accountparty 13. The__________________isthebankorfinancialinstitutionwhichguaranteesthepaymentoftheloaninastandbyletterofcredit.Answer:issuer 14. A(n)_________________________isaloansalewhereownershipoftheloanistransferredtothebuyeroftheloan,whothenhasadirectclaimagainsttheborrower.Answer:assignment 15. Anothertypeofloansaleisa(n)_________________________whichisashortdatedpieceofalongermaturityloan,entitlingthepurchasertoafractionoftheexpectedloanincome.Answer:loanstrip 16. ArelativelynewtypeofcreditderivativeisaCDOwhichstandsfor__________________.Answer:collateralizeddebtobligation 17. Insurancecompaniesareaprime__________ofcreditderivatives.Answer:sellerA(n)isanover-the-counteragreementofferingprotectionagainstlosswhendefaultoccursonaloanorotherdebtinstrument.Answer:creditderivativeA(n)isrelatedtothecreditoptionandisusuallyaimedatlendersabletohandlecomparativelylimiteddeclinesinvaluebutwantsinsuranceagainstseriouslosses.Answer:creditdefaultswapTherehasbeenanexplosionininrecentyears.Theseinstrumentsrestonpoolsofcreditderivativesthatmainlyinsureagainstdefaultsoncorporatebonds.Thecreatorsoftheseinstrumentsdonothavetobuyandpoolactualbondsbutcancreatetheseinstrumentsandgeneraterevenuesfromsellingandtradinginthem.Answer:syntheticCDOs(Collateralizeddebtobligations)Aratesthesecuritiestobesoldfromapoolofsecuritizedloanssothatinvestorshaveabetterideaofwhatthenewsecuritiesarelikelytobeworth.Answer:creditratingagencyA(n)isanassurancethatinvestorswillberepaidintheeventofthedefaultoftheunderlyingloansinasecuritization.Thesecanbeinternalorexternaltothesecuritizationprocessandlowertheriskofthesecurities.Answer:creditenhancementWhentheFHLMCcreatesCMOstheyoftenusedifferentwhicheachpromiseadifferentcouponrateandwhichhavedifferentmaturityandriskcharacteristics.Lenderscansetasideagroupofloansontheirbalancesheet,issuebondsandpledgetheloansascollateralagainstthebondsin.Theseusuallystayonthebank’sbalancesheetasliabilities.FNMA(FannieMae)andFHLMC(FreddieMac)areexamplesof.Theyappeartohavetheunofficialbackingofthefederalgovernmentintheeventofdefault.Answer:governmentsponsoredenterprises(GSEs)True/FalseQuestions T F 26. Securitizationisdesignedtoturnilliquidloansintoliquidassetsintheformofsecuritiessoldintheopenmarket.Answer:True T F 27. Securitizationhastheaddedadvantageofgeneratingfeeincomeforbanks.Answer:True T F 28. Securitizedassetscannotberemovedfromabank'sbalancesheetuntiltheymature.Answer:False T F 29. Securitizationraisesthelevelofcompetitionforthebest-qualityloansamongbanks.Answer:True T F 30. Servicingrightsonloanssoldconsistofthecollectionofinterestandprincipalpaymentsfromborrowersandmonitoringborrowercompliancewithloanterms.Answer:True T F 31. Aloansoldbyabanktoanotherinvestorwithrecoursemeansthebankhasgiventheinvestoracalloptionontheloan.Answer:False T F 32. Anaccountpartywillseekabank'sstandbycreditguaranteeifthebank'sfeeforissuingtheguaranteeislessthanthevalueassignedtheguaranteebyitsbeneficiary.Answer:True T F 33. Securitizationtendstolengthenthematurityofabank'sassets.Answer:False T F 34. SecuritizedassetsasasourceofbankfundsaresubjecttoreserverequirementssetbytheFederalReserveBoard.Answer:False T F 35. Securitizationsofcommercialloansusuallycarrythesameregulatorycapitalrequirementsforabankastheoriginalloansthemselves.Answer:True T F 36. Mostloansthatbankssellofftheirbalancesheetshaveminimumdenominationsofatleastamilliondollars.Answer:True T F 37. Mostloansthatbankssellofftheirbalancesheetscarryinterestratesthatusuallyareconnectedtolong-terminterestrates(suchasthe30-yearTreasurybondrate).Answer:False T F 38. Inaparticipationloanthepurchaserisanoutsidertotheloancontractbetweenthefinancialinstitutionsellingtheloanandtheborrower.Answer:True T F 39. Thebuyerofaloanparticipationmustwatchboththeborrowerandthesellerbankclosely.Answer:True T F 40. Underanassignmentownershipofaloanistransferredtothebuyer,thoughthebuyerstillholdsonlyanindirectclaimagainsttheborrower.Answer:False T F 41. Loansalesaregenerallyviewedasrisk-reducingforthesellingfinancialinstitution.Answer:True T F 42. InaCMO,thedifferenttiers(ortranches)ofsecuritypurchasersfacethesameprepaymentrisk.Answer:False T F 43. Astandbyletterofcreditsubstantiallyreducestheissuingbank'sinterestrateriskandliquidityrisk.Answer:False T F 44. Securitizationofloanscaneasilybeappliedtobusinessloanssincetheseloanstendtohavesimilarcashflowschedulesandcomparableriskstructures.Answer:False T F 45. Theadvantageofacreditswapisthatitallowseachbankintheswaptobroadenitsmarketareaandspreadoutitscreditriskonitsloans.Answer:True T F 46. Bankuseofcreditderivativesisdominatedbythelargestbanks.Answer:True T F 47. Thecreditderivativesmarkethasgrownnine-foldduringtherecentyears.Answer:True T F 48. Banksaretheprincipalsellersofcreditderivatives.Answer:False T F 49. Banksareoneoftheprincipalbuyersofcreditderivatives.Answer:True T F 50. Insurancecompaniesareoneoftheprincipalsellersofcreditderivatives.Answer:TrueMultipleChoiceQuestions 51. Securitizedassetscarryauniqueformofriskcalled: A) Defaultrisk B) Inflationrisk C) Interest-raterisk D) Prepaymentrisk E) NoneoftheaboveAnswer:D 52. Short-datedpiecesofalonger-termloan,usuallymaturinginafewdaysorweeks,arecalled: A) Loanparticipations B) Servicingrights C) Loanstrips D) Sharedcredits E) NoneoftheaboveAnswer:C 53. Thepartyforwhomastandbycreditletterisissuedbyabankisknownasthe: A) Accountparty B) Beneficiary C) Representative D) CreditGuarantor E) NoneoftheaboveAnswer:A 54. Whenabankissuesastandbycreditguaranteeonbehalfofoneofitscustomers,thepartyreceivingtheguaranteeisknownasthe: A) Accountparty B) Beneficiary C) Obligator D) Servicingagent E) NoneoftheaboveAnswer:B 55. Securitizationhaditsorigininthesellingofsecuritiesbackedby_____________ A) Creditcardreceivables B) Residentialmortgageloans C) Computerleases D) Automobileloans E) TruckleasesAnswer:B 56. Loan-backedsecurities,whichcloselyresembletraditionalbonds,carryvariousformsofcreditenhancements,whichmayincludeallofthefollowing,EXCEPT: A) Creditletterguaranteeingrepaymentofthesecurities. B) Setasideofacashreserve. C) Divisionintodifferentriskclasses. D) Earlypaymentclauses. E) Noneoftheabove.Answer:D 57. Insomeinstances,abankwillsellloansandagreetogivetheloanpurchaserrecoursetothesellerforalloraportionofthoseloansthatbecomedelinquent.Inthiscase,thepurchaser,ineffect,getsa: A) Calloption. B) Putoption. C) Forwardcontract. D) Futurescontract E) Noneoftheabove.Answer:B 58. Thekeyadvantagesofissuingstandbylettersofcreditincludewhichofthefollowing: A) Lettersofcreditgeneratefeeincomeforthebank. B) Lettersofcredittypicallyreducetheborrower'scostofborrowing. C) Lettersofcreditcanusuallybeissuedforarelativelylowcost. D) Theprobabilityislowthattheissueroftheletterofcreditwillbecalledupontopay. E) Alloftheabove.Answer:E 59. Banksthatissuestandbylettersofcreditmayfacewhichofthefollowingtypesofrisk? A) Prepaymentrisk. B) Interest-raterisk. C) Liquidityrisk. D) Alloftheabove. E) BandConly.Answer:EByagreeingtoserviceanyassetsthatarepackagedtogetherinthesecuritizationprocessabankcan: A) Ensuretheassetsthatarepackagedandsecuritizedremaininthepackageandarenotsoldoff. B) Choosethebestloanstogothroughthesecuritizationprocess. C) Earnaddedfeeincome. D) Liquidateanyassetsitchooses. E) Noneoftheabove.Answer:C 60. Thedifferenceininterestratesbetweensecuritizedloansthemselvesandthesecuritiesissuedagainsttheloansisreferredtoas: A) Thefundinggap B) Residualincome. C) Servicereturns D) Securityincome E) NoneoftheaboveAnswer:B 61. Ifacreditletterisissuedtobackstoppaymentsonloan-backedsecurities,thecreditletterisaformof: A) Collateralizedasset B) Residualincome C) Directloanobligation D) Creditenhancement E) NoneoftheaboveAnswer:D 62. Loansalesbybanksaregenerallyoftwotypes:(a)participationloans;and(b)__________.Thetermthatcorrectlyfillsintheblankaboveis: A) Assignments B) Recourseloans C) Directloans D) Subscriptionloans E) Noneoftheabove.Answer:A 63. Astandbycreditletterisa(oran): A) Securitizedstrip B) Loanstrip C) Contingentobligation D) Indirectloan E) Noneoftheabove.Answer:C

64. Abankthatwantstoprotectitselffromhighercreditcostsduetoadecreaseinitscreditratingmightpurchase_________________________. A) Acreditriskoption B) Astandbyletterofcredit C) Acreditlinkednote D) Acreditswap E) NoneoftheaboveAnswer:A 65. Whentwobankssimplyagreetoexchangeaportionoftheircustomers'loanrepayments,theyareusing: A) Acreditoption B) Astandbyletterofcredit C) Acreditlinkednote D) Acreditswap E) NoneoftheaboveAnswer:D 66. Adebtinstrumentwhichallowstheissuertoloweritscouponpaymentsifsomesignificantfactorchangesiscalled: A) Acreditoption B) Astandbyletterofcredit C) Acreditlinkednote D) Acreditswap E) NoneoftheaboveAnswer:C 67. Whichofthefollowingisariskofusingcreditderivatives? A) Creditderivativesdonotprotectagainstcreditriskexposure B) Thepartnerintheswaporoptioncontractmayfailtoperform C) Regulatorsmaydecidetolowertheamountofcapitalneededforbanksusingthesederivatives D) Regulatorsmaydecidethatthesederivativesmakethebankmorestableandefficient E) AlloftheabovearerisksofusingcreditderivativesAnswer:B 68. Asecuritizedassetwheretheassetusedtobackthesecuritiesisaloanbasedontheresidualvalueofahomeowner'sresidenceiscalled: A) Amortgagebackedsecurity B) Acreditcardbackedsecurity C) Anautomobilebackedsecurity D) Aloanbackedbond E) AhomeequityloanbackedsecurityAnswer:E

69. Afinancialinstitutionplanstoissueagroupofbondsbackedbyapoolofautomobileloans.However,theyfearthatthedefaultrateontheautomobileloanswillrisewellabove4percentoftheportfolio–theprojecteddefaultrate.Thefinancialinstitutionwantstolowertheinterestpaymentsiftheloandefaultraterisestoohigh.Whichtypeofcreditderivativecontractwouldyoumostrecommendforthissituation? A) Creditlinkednote B) Creditoption C) Creditriskoption D) Totalreturnswap E) CreditswapAnswer:A 70. Abankisabouttomakea$50millionprojectloantodevelopanewoilfieldandisworriedthatthepetroleumengineer'sestimatesoftheyieldonthefieldareincorrect.Thebankwantstoprotectitselfincasethedevelopercannotrepaytheloan.Whichtypeofcreditderivativecontractwouldyoumostrecommendforthissituation? A) Creditlinkednote B) Creditoption C) Creditriskoption D) Totalreturnswap E) CreditswapAnswer:B 71. Abankplanstooffernewsubordinatednotesintheopenmarketnextmonthbutknowsthatitscreditratingisbeingreviewedbyacreditratingagency.Thebankwantstoavoidpayingsharplyhighercreditcosts.Whichtypeofcreditderivativecontractwouldyoumostrecommendforthissituation? A) Creditlinkednote B) Creditoption C) Creditriskoption D) Totalreturnswap E) CreditswapAnswer:C 72. Abankisconcernedaboutexcessvolatilityinitscashflowsfromsomerecentbusinessloansithasmade.Manyoftheseloanshaveafixedrateofinterestandthebank'seconomicsdepartmenthasforecastasharpincreaseininterestrates.Thebankwantsmorestablecashflows.Whichtypeofcreditderivativecontractwouldyoumostrecommendforthissituation? A) Creditlinkednote B) Creditoption C) Creditriskoption D) Totalreturnswap E) CreditswapAnswer:D

73. Abankhasalimitedgeographicarea.Itwouldliketodiversifyitsloanincomewithloansinothermarketareasbutdoesnotwanttoactuallymakeloansinthoseareasbecauseoftheirlimitedexperienceinthoseareas.Whichtypeofcreditderivativecontractwouldyoumostrecommendforthissituation? A) Creditlinkednote B) Creditoption C) Creditriskoption D) Totalreturnswap E) CreditswapAnswer:E 74. Abankhasalongtermrelationshipwithaparticularbusinesscustomer.However,recentlythebankhasbecomeconcernedbecauseofapotentialdeteriorationinthecustomer'sincome.Inaddition,regulatorshaveexpressedconcernsaboutthebank'scapitalposition.Thebusinesscustomerhasaskedforarenewalofits$25milliondollarloanwiththebank.Whichcreditderivativecanhelpthissituation? A) Creditswap B) Loansale C) Loansecuritization D) Creditriskoption E) CreditlinkednotesAnswer:B 75. Abankhasplaced5000consumerloansinapackagetobesecuritized.Theseloanshaveanannualyieldof15.25percent.Thisbankestimatesthatthesecuritiesontheseloansarepricedtoyield10.95percent.Thebankexpects1.45percentoftheloanswilldefault.Underwritingandadvisoryserviceswillcost.25percentandacreditguaranteeifmoreloansdefaultthanexpectedwillcost.35percent.Whatistheresidualincomefromthisloansecuritization? A) 3.70percent B) 4.30percent C) 2.25percent D) 5.15percent E) NoneoftheaboveAnswer:C 76. Bankuseofcreditderivativesisdominatedby A) CommunityBanks B) Thelargest(over$1billion)banks C) Theretailbanks D) Noneofthebanks E) BanksdonotusecreditderivativesyetAnswer:B 77. Accordingtothetext,inthesecuritizationofloansreached: A) Milliondollarmarket B) Billiondollarmarket C) Trilliondollarmarket D) Marketunknowninvalue E) SmallbutgrowingmarketAnswer:C 78. Theprincipalsellersofcreditderivativesincludeallofthefollowingexcept: A) Insurancecompanies B) Securitiesdealers C) Fundmanagementfirms D) Banks E) NoneoftheaboveAnswer:DThebankorotherlenderwhoseloansarepoolediscalled:A)TheoriginatorB)ThespecialpurposeentityC)ThetrusteeD)TheservicerE)ThecreditenhancerAnswer:ALoansthataretobesecuritizedpassto.Thishelpsensurethatifthelendergoesbankruptitdoesnotaffectthecreditstatusofthepooledloans.A)TheoriginatorB)ThespecialpurposeentityC)ThetrusteeD)TheservicerE)ThecreditenhancerAnswer:BSomeoneappointedtoensurethattheissuerfulfillsalltherequirementsofthetransferoftheloanstothepoolandprovidesalloftheservicespromisedtoinvestorsinthesecuritiesiscalled:A)TheoriginatorB)ThespecialpurposeentityC)ThetrusteeD)TheservicerE)ThecreditenhancerAnswer:CSomeonewhocollectsthepaymentsonthesecuritizedloansandpassesthosepaymentsontothetrusteeiscalled:A)TheoriginatorB)ThespecialpurposeentityC)ThetrusteeD)TheservicerE)ThecreditenhancerAnswer:DInvestorsinsecuritizedloansnormallyreceiveaddedassurancethattheywillberepaidintheformofguaranteesagainstdefaultissuedby:A)TheoriginatorB)ThespecialpurposeentityC)ThetrusteeD)TheservicerE)ThecreditenhancerAnswer:EWhenanissuerofsecuritizedloansdividesthemintodifferentriskclassesortranches,theyareprovidingan:A)InternalcreditenhancementB)ExternalcreditenhancementC)InternalliquidityenhancementD)ExternalliquidityenhancementE)NoneoftheaboveAnswer:AWhenanissuerofsecuritizedloansincludesastandbyletterofcreditwiththesecuritizedloans,theyareprovidingan:A)InternalcreditenhancementB)ExternalcreditenhancementC)InternalliquidityenhancementD)ExternalliquidityenhancementE)NoneoftheaboveAnswer:BWhenanissuerofsecuritizedloanssetsasideacashreservetocoverloandefaults,theyareprovidingan:A)InternalcreditenhancementB)ExternalcreditenhancementC)InternalliquidityenhancementD)ExternalliquidityenhancementE)NoneoftheaboveAnswer:AWhichofthefollowingisanadvantageofsecuritizingloans?A)Diversifyingalender’screditriskexposureB)Reducingtheneedtomonitoreachindividualloan’spaymentstreamC)TransformingilliquidassetsintoliquidsecuritiesD)ServingasanewsourceoffundsforlendersandattractiveinvestmentsforinvestorsE)AlloftheaboveareadvantagesofsecuritizingloansAnswer:EWhyaresecuritizedloansoftenissuedthroughaspecialpurposeentity?A)BecausethesecuritizedloansoftenaddrisktothebankandneedtobeheldseparatelyB)BecausethesecuritizedloansarenotprofitableforthebankandneedtobeheldseparatelyC)BecausethespecialpurposeentitymightfailandthispreventsthefailureofthebankD)BecausethebankmightfailandthisprotectsthecreditstatusofthesecuritizedloansE)AlloftheaboveAnswer:DAgroupofpooledloansusedisexpectedtoyieldareturnof23%.Thecouponratepromisedtoinvestorsonsecuritiesissuedagainstthepoolofloansis8%.Thedefaultrateonthepooledloansisexpectedtobe4.5%.Thefeetocompensateaservicinginstitutionforcollectingpaymentsontheloansis2%.Feestosetupcreditandliquidityenhancementsare3%.Thefeeforprovidingadvisinghowtosetupthepoolofsecuritizedloansis1%.Whatistheresidualincomeonthispoolofloans?

A)18.5%B)9%C)4.5%D)2%E)NoneoftheaboveAnswer:CThecouponratepromisedinvestorsonsecuritiesissuedagainstapoolofloansis6.5%.Thedefaultrateonthepoolofloansisexpectedtobe3.5%.Thefeetocompensateaservicinginstitutionforcollectingpaymentsontheloanis2%.Feestosetupcreditandliquidityenhancementsare5%.Theresidualincomeonthispoolofloansis7%.Whatistheexpectedyieldonthispoolofloans?A)24%B)12%C)10%D)6.5%E)NoneoftheaboveAnswer:AInacollateralizedmortgageobligation(CMO)atranche:A)Promisesadifferentreturn(coupon)toinvestorsB)AliquidityenhancementC)CarriesadifferentriskexposureD)AandCaboveE)AlloftheaboveAnswer:DWhatisoneoftheadvantagesofusingloan-backedbonds?A)LoansusedascollateralforthebondscanbesoldbeforethematurityofthebondsB)Loan-backedbondshavelongermaturitiesthandepositsC)BanksdonothavetomeetregulatorycapitalrequirementsonloansusedascollateralD)BankscanuselessloansascollateralthantheamountofbondsissuedE)Alloftheaboveareadvantagesofloan-backedbondsAnswer:BWhatisoneofthedisadvantagesofusingloanbackedbonds?A)ThecostoffundingoftenrisesB)ThereisgreaterdefaultriskonthebondsC)LoansusedascollateralforthebondsmustbehelduntilthebondsreachmaturityD)LoanbackedbondshaveshortermaturitiesthandepositsE)Alloftheabovearedisadvantagesofloan-backedbondsAnswer:CAccordingtothetextbook,whatistheminimumsizeoftheloan-backedsecuritiesofferingthatarelikelytobesuccessful?A)$1millionB)$10millionC)$25millionD)$50millionE)$1trillionAnswer:DWhichofthefollowingisaconcernregulatorshaveaboutsecuritization?A)Theriskofbeinganunderwriterforasset-backedsecuritiesthatcannotbesoldB)Theriskofactingasacreditenhancerandunderestimatingtheneedforloan-lossreservesC)Theriskthatunqualifiedtrusteeswillfailtoprotectinvestorsinasset-backedinstrumentsD)TheriskthatloanservicerswillbeunabletosatisfactorilymonitorloanperformanceE)AlloftheaboveareconcernsregulatorshaveaboutsecuritizationAnswer:EWhatpromptedasurgeinloansalesinthe1980s?A)AwaveofcorporatebuyoutsB)AnincreaseinlesserdevelopedcountryloansC)AlooseningofgovernmentregulationsD)AnincreaseininternationallendingE)NoneoftheaboveAnswer:AWhyhavetheuseofstandbycreditlettersgrowninrecentyears?A)ThegrowthofbankloanssoughtbycompaniesinrecentyearsB)ThedecreaseddemandforriskreductiondevicesC)ThehighcostofstandbycreditlettersinrecentyearsD)Therapidgrowthofdirectfinancingbycompanies E)Alloftheabove Answer:DWhichofthefollowingistrueregardingregulatoryrulesforstandbycreditlettersissuedbybanks?A)TheymustlistthestandbycreditletterasaliabilityontheirbalancesheetB)T