07年frm真题21题请教？

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21. Synthetic collateralized debt obligation (CDO) tranches are structured securities whose performance depends on the number of defaults in a portfolio of credit default swaps (CDS) .A typical synthetic CDO with an equity, mezzanine, senior tranche, and super senior tranche is shown below. Each of the tranches receives a contractual spread in exchange for absorbing losses in the portfolio. For instance, the equity tranche receives a 1,250 bps running spread in exchange for absorbing losses form 0% to 3%.

CDO tranche size and structure

	Tranche	Size	Notional (in millions USD)	Spread over LIBOR
Equity	0%-3%	3%	30	12.50%
Mezzanine	3%-6%	3%	30	2.50%
Senior	6%-9%	3%	30	0.90%
Super Senior	9%-100%	91%	910	0.20%

Which of the following statements is correct?

a.
The equity tranche holder is short a call option with a strike price of USD 30 million written on the value of the portfolio of CDS.
b.
The super senior tranche holder is short a put option with a strike price of USD 90 million written on the value of the portfolio of CDS.
c.
The mezzanine tranche holder is short a put option with a strike price of USD 60 million written on the value of the portfolio of CDS.
d.
The senior tranche holder is long a put option with a strike price of USD 60 million written on the value of the portfolio of CDS.


答案是
21. B

各个Trancehes的收益率分布图都是一个Long put的分布，执行价格应为在其之下的各Tranches的名义本金之和。


但照答案的解释那岂不是没有正确答案？ 请高手解释一下。。。

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关键词：FRM真题 FRM contractual performance Collateral structured defaults exchange receives running

我觉得答案没有错;
不过各个TRANCH 应该是一个risk free bond +short a put option ,实质就是一CLN
执行价格为其下的各个TRANCH 之和.因为下面先吸收风险.答案没有错啊.

cds相当于put option.investors 投资于CDO相当于short cds,即相当于short put,即protection seller.
下三个tranche的本金总合为90million,超过此值则冲销super tranche的本金,相当于执行option,故strike price为90million.

我觉得这题有问题，这个put的strike应是910，因为这个put的underlying是portfolio的价值，当这价值小于910时excersise put。

同意楼上的答案，short put =-max（K-S，0）。如果当组合的loss是91M时，即portfolio Value是909（1000-91）时，super senior 吸收1M，-max（910-909，0）=-1M。当portfolio Value是0时，super senior 吸收剩余全部的910M。

virnix 发表于 2009-10-3 18:36
cds相当于put option.investors 投资于CDO相当于short cds,即相当于short put,即protection seller.
下三个tranche的本金总合为90million,超过此值则冲销super tranche的本金,相当于执行option,故strike price为90million.

谢谢关注。
不过你也说了，超过90m才会冲销super，这样就不会是看跌期权。除非可以这样理解：执行价为-90（因损失），当实际损失超过90，也即盈利低于-90时，其short put的作用才得以体现。
欢迎高手评论！

对,当时照着答案没细想,而且holder只看作一个人持有.

这是因为super senior的持有，获利是固定的，最大损失也是固定的，当组合的损失超过90m，其行为类似short put option,可以从图形上分析。

我想问一下倘若underlying asset不是CDS,是不是就应该是long put