问题如下：
A CDO consisting of three tranches has an underlying portfolio of n corporate bonds with a total principal of USD N million. Tranche 1 has 10% of N and absorbs the first 10% of the default losses. Tranche 2 has 20% of N and absorbs the next 20% of default losses. The final Tranche 3 has 70% of N and absorbs the residual default loss. Which of the following statements is/are true?
I. Tranche 2 has the highest yield.
II. Tranche 1 is usually called "toxic waste."
III. Tranche 3 would typically be rated as AAA by S&P.
IV. Tranche 3 has the lowest yield.
选项： I
only
IV only
C.II, III, and IV only
D.II and IV only
解释：
ANSWER: C
The equity tranche, tranche 1, must have the highest yield, and is sometimes called "toxic waste" because it has the highest risk. Conversely, tranche 3 would have the highest credit rating and the lowest yield.
tranche III能评到AAA级？
一级课程里讲过，CDO是拿资产中间级的tranche分层再去卖么，所以最高的tranche评级应该不会高吧
