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pz-stepsutake · 2020年02月24日

问一道题:NO.PZ2016082406000070

问题如下:

A CDO consisting of three tranches has an underlying portfolio of n corporate bonds with a total principal of USD N million. Tranche 1 has 10% of N and absorbs the first 10% of the default losses. Tranche 2 has 20% of N and absorbs the next 20% of default losses. The final Tranche 3 has 70% of N and absorbs the residual default loss. Which of the following statements is/are true?

I.   Tranche 2 has the highest yield.

II.  Tranche 1 is usually called "toxic waste."

III.  Tranche 3 would typically be rated as AAA by S&P.

IV.  Tranche 3 has the lowest yield.

选项:

A.

I only

B.

IV only

C.

II, III, and IV only

D.

II and IV only

解释:

ANSWER: C

The equity tranche, tranche 1, must have the highest yield, and is sometimes called "toxic waste" because it has the highest risk. Conversely, tranche 3 would have the highest credit rating and the lowest yield.

tranche III能评到AAA级?

一级课程里讲过,CDO是拿资产中间级的tranche分层再去卖么,所以最高的tranche评级应该不会高吧

1 个答案

orange品职答疑助手 · 2020年02月25日

同学你好,这里CDO没同学你说的这个意思呀,它就是如题意所说的在最上层的、等前面30%都赔光了才会有亏损的tranche