NO.PZ2021061002000018
问题如下:
Which of the following statements about the
tranches of ABS is most correct?
选项:
A.The expected returns of the senior tranches
and junior tranches are equal
The senior tranches and junior tranches have
claims on same underlying assets.
Only the junior tranches are exposed to prepayment
risk
解释:
B is correct
A错,各部分的预期收益因面临的风险不同而不同,其中高级部分的信用质量最高,次级部分的信用质量最低。因此,优先级的预期收益最低,次级级的预期收益最高
B对,junior和senior所对应的是同样的资产组合。
C错,提前付款最先分配给最次级的部分,最后分配给最高级的部分。
junior层级的returen不是更高,所以提前偿还风险更大呀