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Churning · 2020年01月30日

问一道题：NO.PZ2018062020000025

  1. CFA I
  2. Fixed Income

问题如下：

Which of the following statements related to securitization is correct?

选项：

A.

Time tranching addresses the uncertainty of a decline in interest rates.

B.

Securitizations are rarely structured to include both credit tranching and time tranching.

C.

Junior and senior bond classes differ in that junior classes can only be paid off at the bond’s set maturity. 

解释：

A is correct. Time tranching is the creation of bond classes that possess different expected maturities so that prepayment risk can be redistributed among bond classes. When loan agreements provide borrowers the ability to alter payments, in the case of declining interest rates, this prepayment risk increases because borrowers tend to pay off part or all of their loans and refinance at lower interest rates.

B is incorrect because it is possible, and quite common, for a securitization to have structures with both credit tranching and time tranching.

C is incorrect because the subordinated structures of junior and senior bond classes differ as to how they will share any losses relative to defaults of the borrowers whose loans are in the collateral pool. Junior classes offer protection for senior classes, with losses first realized by the former. The classes are not distinguished by scheduled repayment terms but, rather, by a loss sharing hierarchy in the event of borrower default.

老师能解释下c选项吗

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1 个答案

吴昊_品职助教 · 2020年02月03日

嗨，努力学习的PZer你好：


这道题的考点是证券化产品的分层，即tranching。如果损失先来的话，由junior层级先吸收，一旦当损失超过junior的钱之后才开始损失senior层级的钱。这是这两个层级的区别而不是求偿顺序的先后。求偿顺序的先后取决的是seniority ranking。选项C说junior层级只能在债券到期日才能被偿付，这里讨论的不是求偿顺序，因此是不正确的。


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努力的时光都是限量版，加油！


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NO.PZ2018062020000025 1.我感觉 cret tranching antime tranching.的操作方式其实是一样的，只不过看基础资产有什么风险，通过SPV操作就打包分层相应的风险。当基础资产主要是prepayment risk的时候，就是 time tranching；当基础资产主要是crei risk的时候，就是 cret tranching。不知道这么理解对不对？ 2.公司债主要是信用风险，但其实也有利率风险和prepayment risk，所以是不是对于公司债的证券资产化既包括cret tranching又包括 time tranching？

2021-03-04 09:28 1 · 回答

Securitizations arerarely structureto inclu both cret tranching antime tranching. Junior anenior bonclasses ffer in thjunior classes conly paioff the bons set maturity.  A is correct.Time tranching is the creation of bonclasses thpossess fferent expecteaturities so thprepayment risk crestributeamong bonclasses. When loagreements proviborrowers the ability to alter payments, in the case of clininginterest rates, this prepayment risk increases because borrowers tento poff part or all of their loans anefinanlower interest rates. B isincorrebecause it is possible, anquite common, for a securitization to have structures with both cret tranching anime tranching. C isincorrebecause the subornatestructures of junior ansenior bonclasses ffer to how they will share anylosses relative to faults of the borrowers whose loans are in the collateralpool. Junior classes offer protection for senior classes, with losses firstrealizethe former. The classes are not stinguishescheleepayment terms but, rather, a loss sharing hierarchy in the event of borrower fault. 老师，B可以举个例子吗？同时有这俩风险的

2020-11-26 00:03 1 · 回答

Securitizations arerarely structureto inclu both cret tranching antime tranching. Junior anenior bonclasses ffer in thjunior classes conly paioff the bons set maturity.  A is correct.Time tranching is the creation of bonclasses thpossess fferent expecteaturities so thprepayment risk crestributeamong bonclasses. When loagreements proviborrowers the ability to alter payments, in the case of clininginterest rates, this prepayment risk increases because borrowers tento poff part or all of their loans anefinanlower interest rates. B isincorrebecause it is possible, anquite common, for a securitization to have structures with both cret tranching anime tranching. C isincorrebecause the subornatestructures of junior ansenior bonclasses ffer to how they will share anylosses relative to faults of the borrowers whose loans are in the collateralpool. Junior classes offer protection for senior classes, with losses firstrealizethe former. The classes are not stinguishescheleepayment terms but, rather, a loss sharing hierarchy in the event of borrower fault. 没明白…A不应该是repayment risk么？怎么又变成interest risk？

2020-09-05 23:17 1 · 回答

Securitizations arerarely structureto inclu both cret tranching antime tranching. Junior anenior bonclasses ffer in thjunior classes conly paioff the bons set maturity.  A is correct.Time tranching is the creation of bonclasses thpossess fferent expecteaturities so thprepayment risk crestributeamong bonclasses. When loagreements proviborrowers the ability to alter payments, in the case of clininginterest rates, this prepayment risk increases because borrowers tento poff part or all of their loans anefinanlower interest rates. B isincorrebecause it is possible, anquite common, for a securitization to have structures with both cret tranching anime tranching. C isincorrebecause the subornatestructures of junior ansenior bonclasses ffer to how they will share anylosses relative to faults of the borrowers whose loans are in the collateralpool. Junior classes offer protection for senior classes, with losses firstrealizethe former. The classes are not stinguishescheleepayment terms but, rather, a loss sharing hierarchy in the event of borrower fault. 老师，请下答案Ａ，对其他学员的没有看懂，利率下行风险和time tranching 什么关系

2020-08-19 06:58 1 · 回答

为什么A对呢？不是说，不能减少风险吗？只是一个重新分配

2020-03-02 07:12 3 · 回答