Correlation assigned to each detachment point

Correlation of equity tranche only

Correlation of mezzanine tranche only

Free CFA Fixed Income Practice Questions & Answers

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Question 301

CVA (Simple) EE = 5M, PD = 3%, LGD = 60%. CVA?

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Question 302

MBS IO Strip If prepayments accelerate:

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Question 303

MBS PO Strip If prepayments slow:

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Question 304

Forward Price of Zero DF₁ = 0.96, DF₂ = 0.92. Forward price of 1‑year zero starting in 1 year?

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Question 305

In a synthetic CDO, the equity tranche typically:

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Question 306

A tranche covers 0–3% of a 100‑name index (1% each). If portfolio loss is 4%, tranche loss is:

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Question 307

A tranche covers 3–7%. Portfolio loss is 5%. Tranche loss is:

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Question 308

Base correlation is:

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Question 309

Higher base correlation generally implies, for mezzanine tranches:

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Question 310

In a Gaussian copula CDO model, increasing asset correlation tends to:

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Question 311

For senior tranches, higher correlation generally:

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Question 312

An index tranche 0–3% is best described as:

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Question 313

A 3–7% tranche is typically:

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Question 314

Expected tranche loss depends most directly on:

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Question 315

Mean reversion in short‑rate models mainly affects:

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Question 316

A one‑factor short‑rate model cannot fully capture:

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Question 317

A CLO is primarily backed by:

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Question 318

An ABS backed by credit card receivables typically has:

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Question 319

CMBS analysis focuses heavily on:

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Question 320

In CMBS, a high DSCR generally indicates:

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Question 321

In a CLO waterfall, equity tranche typically:

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Question 322

ABS backed by auto loans has prepayment behavior driven mainly by:

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Question 323

CMBS loans often include lockout and defeasance to:

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Question 324

In a CMBS deal, the most junior tranche is most exposed to:

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Question 325

A revolving ABS structure is most likely to have:

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Question 326

CLO performance is most sensitive to:

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Question 327

A bond trading special in repo means:

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Question 328

FVA (Funding Valuation Adjustment) reflects:

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Question 329

DVA (Debit Valuation Adjustment) reflects:

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Question 330

A one-factor short-rate model implies that:

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Free CFA Fixed Income Practice Questions & Answers

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