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momo · 2023年11月21日

b

  1. CFA I
  2. Fixed Income

NO.PZ2023052301000087

问题如下：

When a CLO transaction experiences a collateral pool default:

选项：

A.

senior tranche holders are guaranteed full repayment.

B.

call features embedded in bonds likely affect junior tranches.

C.

losses are distributed proportionately across all the tranches.

解释：

The correct answer is B. A complicating factor of a default can be the call features embedded in bonds. While exercising call options on debt would replenish the collateral pool, distributing these proceeds to the senior and mezzanine tranches would shrink the size of the collateral pool, further narrowing the earnings potential with junior tranches receiving the least cash flow.

A is incorrect because senior tranches are then in danger of not receiving some or any payments, depending on the size of the default.

C is incorrect because losses would first be absorbed by junior tranche investors, with remaining losses realized by the other tranches in order of repayment seniority.

可以解释下b选项吗

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1 个答案

pzqa015 · 2023年11月22日

嗨，从没放弃的小努力你好：


CLO的优先级顺序是senior＞mezzaine＞junior，如果有违约，那么是从向前依次吸收损失，也就是说从后往前的利益先后受损。这里的call feature是指CLO底层资产债务人在违约时，junior会被要求赎回违约的债务（一般junior都是整个CLO发行人自持），这个过程实务中也叫做替换不合格资产，相当于junior直接为senior和mezzaine分钱，所以，B说junior的利益受到了影响。

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James · 2024年02月15日

junior被要求赎回资产，这是put option的特征啊，并不是call option的特征，所以我还是不理解这道题的题干和B选项。我理解如果底层资产违约了，损失首先由junior来承担，也就是senior的现金流还是有保障的，看来看去A最符合。

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