NO.PZ2023120801000135
问题如下：
When a CLO transaction experiences a collateral pooldefault:
选项：
A.
senior tranche holders are guaranteed full repayment.
B.
call features embedded in bonds likely affect juniortranches.
C.
losses are distributed proportionately across all thetranches.
解释：
Correct Answer: B
A complicating factor of a default can be the callfeatures embedded in bonds. While exercising call options on debt wouldreplenish the collateral pool, distributing these proceeds to the senior andmezzanine tranches would shrink the size of the collateral pool, furthernarrowing the earnings potential with junior tranches receiving the least cashflow. A is incorrect because senior tranches are then in danger of notreceiving some or any payments, depending on the size of the default. C isincorrect because losses would first be absorbed by junior tranche investors,with remaining losses realized by the other tranches in order of repaymentseniority.
麻烦助教帮忙解释下A？