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Yvonne0719 · 2024年10月03日

麻烦老师讲解一下具体的知识点和选项

  1. CFA I
  2. Fixed Income

NO.PZ2023120801000135

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：

Correct Answer: 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.

麻烦老师讲解一下具体的知识点和选项

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1 个答案

笛子_品职助教 · 2024年10月04日

嗨，爱思考的PZer你好：


麻烦老师讲解一下具体的知识点和选项

Hello，亲爱的同学~

本题选B。B选项的含义是，含有call features特征的债券，一旦发生违约，更可能影响到 junior tranches的收益。

知识点见：CLO structure章节。

这里需要理解CLO的机制后进行理解，分析出对各个层级的影响。


结合本题：

这题考察的是底层资产提前call回取得的现金流，会影响junior tranche的收益。

因为提前偿还的借款无法持续获得收益，所以整个资产池收益下降，直接影响junior equity层的收益。


call features embedded in bonds的影响路径如下：

1、补充资金：当债券被赎回时，债券的本金将返回到担保资金池。这意味着资金池会立即得到一笔资金的注入，这对资金池是一个短期的正面影响，因为它增加了可用于分配的现金总额。


2、资金池规模的缩小：虽然短期内资金池得到了补充，但由于债券本身被赎回，这部分债券不再产生利息或其他收益，因此从长远来看，整个资金池的运作规模实际上是缩小了。这意味着未来从这些债券中获得的总收入会减少，特别是当这些债券原本是高收益的债券时。


因此，短期内资金池得到补充看起来是积极的，但从长期来看，资金池的收益能力因规模缩小而下降。这种状况在资产支持证券（如抵押贷款支持证券和其他类型的分层债券产品）中尤其常见。


结合本题：如果是call features embedded in bonds，则长期看，整个资金池的运作规模实际上是缩小了。总的现金变少了，那么一旦违约，仅有的资金又需要优先支付senior层级，这就使junior层级获得的现金流减少。

所以选B，违约的时候，junior层级更容易受到含权债券权利的影响。


同学对以上的答疑服务，只要有任何不理解的地方，都是可以随时继续追问的。

祝学习顺利，逢考必过~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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