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Which of the following is true regarding balance sheet and arbitrage CDOs?

A) Arbitrage CDOs are motivated by financial engineering of the cash flows to maximize profits.

B) Balance sheet CDOs are less likely to retain the equity tranche.》》》戳：各科視頻講義+歷年真題+21年原版書（PDF版）免·費(fèi)領(lǐng)取

C) The trustee has a more important role in the arbitrage CDOs.

D) Arbitrage CDOs will contain a greater proportion of loans in the collateral pool.

答案：A

解析：Balance sheet CDOs are more likely to retain the equity tranche to mitigate the adverse selection problem for skimming the higher quality assets from the collateral pool. The trustee role is the same for both balance sheet and arbitrage CDOs. Balance sheet CDOs are more likely to contain more loans because it likely originated them.

Apool 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.FRM通 關(guān)備考禮包

D) The yield on the low risk tranche must be greater than the yield on the collateral pool.

答案：B

解析：ACollateralized Bond Obligation and the underlying securities must have equal market value, similar cash flow pattern and identical risk, which eliminate choice Ain 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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