b

问题如下：

When a CLO transaction experiences a collateral pool default:

选项：

senior tranche holders are guaranteed full repayment.

call features embedded in bonds likely affect junior tranches.

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.