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三言午寺 · 2021年03月04日

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credit tranching又包括 time tranching？

  1. CFA I
  2. Fixed Income

NO.PZ2018062020000025

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.

1.我感觉 credit tranching and time 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creidt risk的时候，就是 credit 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credit tranching又包括 time tranching？

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三言午寺 · 2021年03月04日

A选项可以说，time traching 解决prepayment risk其实就是解决利率风险么？

1 个答案

吴昊_品职助教 · 2021年03月04日

嗨，从没放弃的小努力你好：


同学你好：

1.按照到期时间不同进行分层，即Time tranching。longest term tranche是最后还款的那一层，shortest-term tranche最快还款的那一层。credit tranches分层结构，钱来了，先满足senior层次，再满足subordinated层次，以此类推。你的理解基本上没有问题，相当于把各资产总体打包，然后分层，结构进行了变化。我们可以根据时间顺序进行time tranching，也可以根据credit risk进行分层。

A选项说的是time tranching解决了利率下降的不确定性。当利率下降的时候，会有提前还款，这样就可以以一个更低的融资成本去借新债。此时，prepayment被shortest-term tranche拿走了，它是还款最快的那一层。所以分层了之后，prepayment risk被重新分配，我们提前就可以知道哪一层会先拿到prepayment，这样就解决了利率下降提前还款不确定的问题。

2. 是的，在B选项的解析中就写到了：it is possible, and quite common, for a securitization to have structures with both credit tranching and time tranching.大部分资产证券化产产品都是既包含了credit tranching也包含time tranching的。

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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

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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