题目
The creation of bond classes with a waterfall structure for sharing losses is referred to as:
选项
A.time tranching.
B.credit tranching.
C.overcollateralization.
答案
B
解析
： B is correct. Credit tranching is a form of credit enhancement called subordination in which bond classes or tranches differ as to how they will share losses resulting from defaults of the borrowers whose loans are part of the collateral. This type of protection is commonly referred to as a waterfall structure because of the cascading flow of payments between bond classes in the event of default. A is incorrect because time tranching involves the creation of bond classes that possess different expected maturities rather than bond classes that differ as to how credit losses will be shared. Time tranching involves the redistribution of prepayment risk, whereas credit tranching involves the redistribution of credit risk. C is incorrect because although overcollateralization is a form of internal credit enhancement similar to subordination, it is the amount by which the principal amount of the pool of collateral exceeds the principal balance of the securities issued and backed by the collateral pool. Losses are absorbed first by the amount of overcollateralization and then according to the credit tranching structure. ： B是正确的。信用分层是一种信用增级形式，称为从属关系，在这种情况下，债券类别或分层将区别如何分担因借款人违约而造成的损失。这种类型的保护通常被称为瀑布式结构，因为在发生违约时，债券类别之间的支付是层叠的。 A是不正确的，因为时间分层涉及创建具有不同预期到期日的债券类别，而不是在如何分担信用损失方面存在差异的债券类别。时间分层涉及提前还款风险的再分配，而信用分层涉及信用风险的再分配。 C是不正确的，因为尽管过度抵押是一种类似于从属关系的内部信用增强形式，但它是抵押品池的本金金额超过抵押品池发行和支持的证券的本金余额的金额。损失首先由过度抵押额吸收，然后根据信用分层结构吸收。