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Tututu · 2024年10月15日

可以解释一下B吗

  1. CFA I
  2. Fixed Income

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.

可以解释一下B吗

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1 个答案

笛子_品职助教 · 2024年10月16日

嗨，爱思考的PZer你好：


可以解释一下B吗

Hello，亲爱的同学~

在选项B中提到的“Call Feature”是债券嵌入的赎回条款，它允许借款人（债券发行人）在特定条件下提前赎回债券。具体来说：

在这种情况下，“Call Feature”指的是借款人（债券发行人）提前以预定价格赎回债券。借款人提前赎回一部分债务。这一过程会影响担保池的价值和现金流分配。

提前赎回导致的现金流分配变化可能会影响次级层级债券的收益。

这是因为赎回款项，会被优先分配给高级和中级层级债券持有人。

并且一旦有了提前赎回，则债券池的现金流就会变少。

总量少了，如果再违约，那么能分配的现金流就更少，这部分现金流还要首先保证senior。从而减少了次级层级债券持有人的现金流。


这里就是一个结论：有提前赎回属性的债券，因为提前赎回降低了抵押池的总现金量，那么一旦债券违约，对劣后级持有人不利。

同学就通过这道题来记忆一下。

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