问一道题：NO.PZ2016082406000074 [ FRM II ]

问题如下：

A fixed-income investor is considering investing in an asset-backed security (ABS) that has the following structure.

If the assets in the pool are worth USD 450 million, what amount of losses will cause the investor to begin to lose money if he invested in the senior tranche?

选项：

USD 200 million

USD 190 million

USD 100 million

USD 90 million

解释：

ANSWER: A

This is the sum of the value of the lower tranches, or $190 million plus the overcollateralization, which is $10 million.

原本价值450的各种bond，打包成为一个ABS只卖440，未来现金流情况不变的情况下，这样ABS的yield比原bond的yield高了，是为了重新打包成ABS的各种fee。是由于这个原因所以打包成为ABS便宜了吗？

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品职答疑小助手雍 · 2020年03月11日

同学你好，是，但是不只是，overcollateralization也是一个信用增强手段。

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NO.PZ2016082406000074 A fixeincome investor is consiring investing in asset-backesecurity (ABS) thhthe following structure. If the assets in the pool are worth US450 million, whamount of losses will cause the investor to begin to lose money if he investein the senior tranche? US200 million US190 million US100 million US90 million ANSWER: A This is the sum of the value of the lower tranches, or $190 million plus the overcollateralization, whiis $10 million. 这里答案说的是190+10=200，所以实际操作中，如果有过度抵押，那么损失完equity和m层之后，再有损失还可以先拿过度抵押部分去吸收，吸收完了才到senior是吗？

2021-05-01 19:27 1 · 回答

A fixeincome investor is consiring investing in asset-backesecurity (ABS) thhthe following structure. If the assets in the pool are worth US450 million, whamount of losses will cause the investor to begin to lose money if he investein the senior tranche? US200 million US190 million US100 million US90 million ANSWER: A This is the sum of the value of the lower tranches, or $190 million plus the overcollateralization, whiis $10 million. 老师，考虑多少senior开始损失的时候需不需要吧超额抵押的是10块钱算进去，正常是三个层级,损失完是190，加上过度抵押10块是200，这两个哪个对啊

2020-09-01 11:21 1 · 回答

为什么是200？一般没有拿出来ABS的部分不是为了弥补这个过程中的费用，理论上的保证程度是高于Senior的吗？

2019-03-14 10:13 1 · 回答

问一道题：NO.PZ2016082406000074 [ FRM II ]

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