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: 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.
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