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FRM二级备考冲刺：难题易错题解析

来源：高顿网校 2015-09-30

　　在FRM二级的备考中，许多考生都觉得难题要花很长时间思考，效率不高。高顿网校FRM小编整理了一些FRM二级的难题及详细解析，供考生们参考。　　1.The risk to an investor in a tranched basket default swap (TBDS) is higher when the number of assets is:

　　A. higher, and the assets’ default correlations are low.

　　B. lower, and the assets’ default correlations are low.

　　C. lower, and the assets’ default correlations are high.

　　D. higher, and the assets’ default correlations are high.

　　2.In the past, if mortgage rates fell by more than 2%, refinancing activity would increase dramatically. That effect is best described as the:

　　A. lock-in effect.

　　B. burnout effect.

　　C. media effect.

　　D. refinance effect.

　　3.Available stable funding sources (ASF) include all of the following except:

　　A. Tier 1 and Tier 2 capital + preferred stock with ≥ 1 year of maturity + secured and unsecured debt with ≥ 1 year of remaining maturity and no embedded options (such as a call feature) that could shorten the maturity to less than 1 year.

　　B. Unencumbered corporate bonds or covered bonds rated AA- or higher with maturities of ≥ 1 year.

　　C. Stable, non-maturity demand or term deposits provided by retail and small business customers (residual maturities of < 1 year).

　　D. Less-stable, non-maturity demand or term deposits provided by retail or small business customers (residual maturities of < 1 year).

　　Answer:

　　1.A

　　The higher the number of assets and the lower the default correlation, the higher the investor’s risk in a TBDS. With basket default swaps, the exposure is typically to a small number of defaults (in a large basket). So, the risk of a small number of defaults is greater when correlation is low (due to defaults being independent of one another).

　　2.C

　　Large declines in rates will likely gain the attention of the media.

　　Lock-in effect refers to borrowers who may wish to avoid the costs of a new mortgage which likely consists of a higher mortgage rate.

　　Burnout effect can be described as follows: consider a mortgage pool that was formed when rates were 8%, then interest rates dropped to 5%, rose to 8%, and then dropped again to 5%. Many homeowners will have refinanced when interest rates dipped the first time. On the second occurrence of 5% interest rates, most owners in the pool who were able to refinance would have already done so.

　　There is no such thing as a refinance effect per se.

　　3.B

　　Unencumbered corporate bonds or covered bonds rated AA- or higher with maturities of ≥ 1 year + unencumbered marketable securities with residual maturities of ≥ 1 year representing claims on or guaranteed by sovereigns, central banks, PSEs is an example of a type of required stable funding (RSF). The other choices are examples of available stable funding (ASF).

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