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magico · 2021年09月06日

烦请解释这题

  1. FRM II
  2. Credit Risk Measurement And Management

NO.PZ2020033002000074

问题如下：

Mike is considering investing in an asset-backed security (ABS) that has four tranche with value of USD 200 million in super senior tranche, USD 150 million in senior tranche, USD 70 million in subordinated tranche and USD 20 million in equity tranche. The ABS is collateralized by USD 10 million. What amount of losses Mike would begin to suffer if he invested in senior tranche?

选项：

A.

USD 250 million

B.

USD150 million

C.

USD 100 million

D.

USD 90 million

解释：

C is correct.

考点：ABS

解析：

10 + 20 +70 = USD 100 million.

这题似乎有点懵，烦请详细解释下计算逻辑，谢谢

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李坏_品职助教 · 2021年09月06日

嗨，努力学习的PZer你好：


这里考察的是ABS的层级划分。


题目问的是亏损达到什么数字的时候，Mike投资的senior tranche（优先级债券）会开始亏钱？ 实际上就是把级别低于senior的那些都亏完，然后才会开始亏senior部分。


ABS里面位于senior下面的包括20m的equity tranche和70m的subordinate tranche（次级债），再加上10M的抵押物（collateralized），一共需要亏损100million之后才会亏到senior部分

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努力的时光都是限量版，加油！

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