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yingya0706 · 2024年10月12日

CLO的性质

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.

老师请问答案c为什么不对

1 个答案

笛子_品职助教 · 2024年10月12日

嗨,从没放弃的小努力你好:


老师请问答案c为什么不对

Hello,亲爱的同学~

CLO是信用分级的,例如分为优先级/中间级/劣后级。


如果不发生违约,则每个级(tranche)都可以拿到对应的本金。

但如果违约,则先保证优先级,再保证中间级,最后才是劣后级。


例如,某一期现金流100万元还款,其中,优先级应拿30万,中间级应拿30万,劣后级应拿40万。

如果不违约,则三个级别都可以拿到对应的金额。


但一旦发生违约,例如,这100万元还款,只还进来40万,还有60万违约了,不还了。

那么,这仅有的40万,就要先保证优先级,再中间级,最后劣后级。


优先级还是拿走40万里的30万,优先级此时没损失。违约给优先级的损失为零。

优先级拿走30万后,只剩下10万了,这10万给中间级。中间级应拿30万,但只拿到10万,违约给中间级的损失是20万。

而劣后级,一分钱也拿不到,违约给劣后级的损失是40万。


从上面的过程看出:一旦违约,现金流就不是按比例分配了,而是有先后顺序。

每个层级的违约损失也是不相等的。

losses are distributed proportionately across all the tranches.这个说法不正确,因此C不选。


对以上答疑服务,同学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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