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FRM二级易错题精选:Collateralized Bond Obligation(CBO)

发表时间:2017-11-06 14:20
作者:FRM考试网
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A pool of high yield bonds is placed in an SPV and three tranches(including the equity tranche)of bonds are issued collateralized by the bonds to create a Collateralized Bond Obligation(CBO).Which of the following is true?
 
A.At fair value,the value of the issued bonds should be less than the collateral
 
B.At fair value,the total default probability,weighted by size of issue,of the issued bonds should equal the default probability of the collateral pool
 
C.The equity tranche of the CBO has the least risk of default
 
D.The yield on the low risk tranche must be greater than the yield on the collateral pool

FRM二级
 
Answer:B
 
A Collateralized Bond Obligation and the underlying securities must have equal market value,similar cash flow pattern and identical risk,which eliminate choice A in favor of B.The equity tranche has the greatest risk of default;the yield on the low risk tranche must be less than the yield on the collateral pool.

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报名、考试时间

2018年05月2018年11月
报名时间 第一阶段:2017.12.1~18.1.31
第二阶段:2018.02.01~02.28
第三阶段:2018.30.01~04.15
考试时间 2018年05月19日(周六)
成绩查询 2018年06月28日(周四)
报名时间2 第一阶段:2018.05.1~07.31
第二阶段:2018.08.01~08.31
第三阶段:2018.09.01~10.15
考试时间 2018年11月17日(周六)
成绩查询 2019年01月03日(周四)
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