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Coco · 2021年12月06日

为什么要加collateral

  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.

ABS里面位于senior下面的包括20m的equity tranche和70m的subordinate tranche（次级债），为什么要再加上10M的抵押物（collateralized）？抵押物优先偿还什么级别的债？

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1 个答案

DD仔_品职助教 · 2021年12月06日

嗨，从没放弃的小努力你好：


同学你好，这个题问的是损失到多少的时候才会影响到senior层级，collateral肯定是优先偿还给senior的，所以要加上collateral的价值，才会影响到senor层级。

可以这样理解，那损失到90m的时候（equity和subordinate都亏完了），还剩下10m的collateral可以亏，collateral亏完了，才会影响到senior的现金流，所以是要加上collateral的价值的。

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