请问mezzanine层为什么是上升的?

NO.PZ2023100703000070

问题如下：

In May of 2005, General Motors and Ford was downgraded to junk status, the correlations of the assets in the CDO decreased. How the price of the assets change?

选项：

A.The price of mezzanine tranche increased but the price of equity tranche decreased.

B.The price of mezzanine tranche decreased but the price of equity tranche increased.

C.The price of both mezzanine tranche and equity tranche increased.

D.The price of both mezzanine tranche and equity tranche decreased.

解释：

A downgrade to junk status typically leads to a sharp bond price decline. When the correlations of the assets in the CDO decreased, the performance of equity tranche was worse than economic prosperity period.

相关性下降，equity层价值下降，而垃圾债PD高，那mezzanine不是应该和equity一样价值会下降吗?

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品职答疑小助手雍 · 2024年05月18日

同学你好，这题的是考察相关性导致的那次危机的情况的。相关性下降会导致CDO的各层出现两极分化，通常equity是必然下降的。

但是注意本题不是整体环境的PD上升，而只是相关性下降比较惨。这种环境下mez是上涨的，那些差的损失都被equity吸收了，mez很安全。

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NO.PZ2023100703000070 问题如下 In Mof 2005, GenerMotors anForwwngrato junk status, the correlations of the assets in the C crease How the priof the assets change? A.The priof mezzanine tranche increasebut the priof equity tranche crease B.The priof mezzanine tranche creasebut the priof equity tranche increase C.The priof both mezzanine tranche anequity tranche increase The priof both mezzanine tranche anequity tranche crease A wngra to junk status typically lea to a sharp bonpricline. When the correlations of the assets in the C crease the performanof equity tranche wworse theconomic prosperity perio 从哪得出的结论？看了老师之前的，还是不懂

2024-10-27 19:07 2 · 回答

请问mezzanine层为什么是上升的?

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