FRM真題解析，在備考中有必要看嗎？這是備考中的考生所咨詢的，其實(shí)，在備考中做大量的真題是很有必要的，真題解析也是有必要看的。下文是小編列舉的相關(guān)真題解析，希望對你有所幫助！

How many of the following statements concerning the capital structure in a securitization are most likely correct?

●The mezzanine tranche is typically the smallest tranche size.》》2021年新版FRM一二級內(nèi)部資料免費(fèi)領(lǐng)??！【精華版】

●The mezzanine and equity tranches typically offer fixed coupons.

●The senior tranche typically receives the lowest coupon.

A) No statements are correct.

B) One statement is correct.

C) Two statements are correct.

D) Three statements are correct.

答案：B

解析：Senior tranches are perceived to be the safest, so they receive the lowest coupon. The equity tranche receives residual cash flows and no explicit coupon. Although the mezzanine tranche is often thin, the equity tranche is typically the thinnest slice.

Which of the following statements about portfolio losses and default correlation are most likely correct?

Ⅰ.Increasing default correlation decreases senior tranche values but increases equity tranche values.

Ⅱ.At high default rates, increasing default correlation decreases mezzanine bond prices.

A) I only.

B) II only.

C) Both I and II.

D) Neither I nor II.

答案：A

解析：Statement I is true. Increasing default correlation increases the likelihood of more extreme portfolio returns (very high or very low number of defaults). The increased likelihood of high defaults negatively impacts the senior tranche.

On the other hand, the increased likelihood of few defaults benefits the equity tranche as it bears first loss. Statement II is false. At high default rates, increasing the correlation increases the likelihood of more extreme portfolio returns which benefits equity investors and mezzanine investors.

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