11. Which of the following statements is TRUE? A A high correlation in the pool of assets reduces the value of all tranches. B A high correlation in the pool of assets increases the value of senior tranches, and reduces the value of junior tranches C A high correlation in the pool of assets increases the value of all tranches D None of the options listed E I do not wish to answer this question. F A high correlation in the pool of assets reduces the value of senior tranches, and increases the value of junior tranches. 12. A bond has a recovery rate of 33% and yield spread of 400 bps. What is its annualised risk-neutral default probability? A6% B 12% 4% D I do not wish to answer this question E 8% % F 5%