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pz-stepsutake · 2020年02月24日

问一道题:NO.PZ2016082406000071

问题如下:

A collateralized bond obligation (CBO) consists of several tranches of notes from a repackaging of corporate bonds, ranging from equity to super-senior. Which of the following is generally true of these structures?

选项:

A.

The total yield of all the CBO tranches is slightly less than the underlying repackaged bonds to allow the issuer to recover their fees/costs/profits.

B.

The super-senior tranche has expected loss rate higher than the junior tranche.

C.

The super-senior tranche is typically rated below AAA and sold to bond investors.

D.

The equity tranche does not absorb the first losses of the structure.

解释:

ANSWER: A

In the absence of transaction costs or fees, the yield on the underlying portfolio should be equal to the weighted average of the yields on the different tranches. With costs, however, the CBO yield will be slightly less. Otherwise, the super-senior tranche has the highest credit ratings and the lowest loss rate of all tranches, and absorbs the last loss on the structure.

C为什么不对

1 个答案

orange品职答疑助手 · 2020年02月25日

同学你好,C选项里解析已经解释了呀,the super-senior tranche has the highest credit ratings and the lowest loss rate of all tranches, and absorbs the last loss on the structure,它有最高的信用评级、最低的损失率,评级并不会“通常在AAA以下”