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Which of the following statements about a cash collateralized debt obligations (CDO) special-purpose vehicle (SPV) is true?》》》戳：各科視頻講義+歷年真題+21年原版書（PDF版）免·費領(lǐng)取

A) In a cash CDO, the SPV invests in the actual securities that are used to generate payment to the tranches.

B) In a synthetic CDO, the SPV invests in the actual securities that are used to generate payment to the tranches.

C) In a synthetic CDO, the SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest only in a risk-free bond.

D) In a cash CDO, the SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest in a default swap and a risk-free bond.

答案：A

解 析:A cash collateralized debt obligations (CDO) special-purpose vehicle (SPV) invests in the actual securities that are used to generate payment to the tranches. A synthetic CDO's SPV does not invest in the actual securities that are used to generate payment to the tranches. Instead they invest in a default swap and a risk-free bond.掃碼咨詢詳情

Astandard synthetic CDO (basket credit default swap) references a portfolio of ten (10) individual corporate names. Assume the following:

●The total reference notional (basket notional) is X, and the term is Y years

●The reference notional per individual reference credit name is X/10 (i.e. equal weight per name)

●The default correlations between the individual reference credit names are all equal to one (1.0)

●The single-name credit default swap (CDS) spread for each individual reference credit name is 100 basis points, for a term of Y years

●The assumed recovery rate on default for all individual reference credits is zero in all cases

●The synthetic CDO comprises two tranches, a 50% junior tranche priced at a spread J, and a 50% senior tranche priced at spread SAll else held constant, if the default correlations between the individual reference credit names are reduced from 1.0 to 0.7, what is the effect on the relationship between the junior tranche spread J and the senior tranche spread S?

A) The relationship remains the same

B) S increases relative to J

C) J increases relative to S

D) The effect cannot be determined given the data supplied

答案：C

解析：If the default correlations are initially all 1.0, then the only possible outcomes are that all issuers default at once, or no issuers default.

If the correlation is reduced below 1.0 to 0.70, there are some outcomes where only some issuers default; these cases will impact the junior tranche more than the senior tranche. However, the overall average default rate remains the same.

This means that at a correlation less than 1.0, the junior tranche bears more of the risk than the senior tranche. Therefore, the spread on the junior tranche will increase relative to that of the senior tranche, because the total spread across the entire basket must remain 100bps. The correct choice is C.

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