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The Big Bank Corp has securitized a large pool of 100 mortgages as follows: $75 million in seniorAAA notes, $20 million in mezzanine BB notes, and $5 million in equity tranche. Big Bank Corp would like to provide a credit enhancement to the issue. Which of the following strategies would most effectively reinforce the credit rating of theAAAnotes?

A) 26th-to-default basket.

B) Standard basket.

C) Senior basket with $25 million loss level.

D) Subordinated basket with $25 million loss level.

答案：C

解析：The senior basket provides compensatory payouts after $25 million in loss is suffered by the pool. Because the goal is to enhance theAAAnotes, $25 million can be absorbed by the mezzanine and equity investors without impairing theAAAnotes.

Assuming all credits are of equal size, the 26th-to-default basket would provide minimal protection since all defaults above 26 would directly impairAAAclaims. The standard basket would provide protection starting with the first default and thus would be very expensive if used to protect theAAAnotes.

Which of the following statements is (are) not true regarding a credit default

swap (CDS)?添加老師微信咨詢

Ⅰ.The purchaser of a CDS seeks credit protection.

Ⅱ.Swap partners make payments based on a benchmark credit spread on the reference obligation.

Ⅲ.Physical settlement provides the CDS buyer the par value of the reference obligation.

Ⅳ.ACDS has the same payoffs as a credit default put with installment payments.

A) II only.

B) I and III.

C) III only.

D) II and IV.

答案：A

解析：The CDS buyer makes fixed payments to the seller of the CDS for the life of the swap or until a credit event occurs.

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