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一二级内部资料免费领取！【精华版】
●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.
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
A) I only.
B) II only.
C) Both I and II.
D) Neither I nor II.
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
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.