In part （ii）many answers talked about option pricing in general，by considering the value of option on an underlying asset，such as a share，rather than specifically relating it to corporate valuation. Such answers should have explained how equity can be regarded as a call option on a company’s assets written by the lenders，and therefore when it was appropriate to use it to assess the value of a company. The data required was also explained in general terms in many answers，rather than specifically to valuing a company.

　　Most answers in part （iii）applied the BSOP correctly，although the variables used in most cases were not accurate. It was disappointing that only in a minority of cases were the exercise and asset prices calculated or estimated correctly. Therefore although most answers gained some marks for part （iii），very few gained the full nine marks allocated for this part.

　　Overall answers to part （iv）were poor with few candidates able to provide a meaningful discussion. A significant number of responses did not answer this part at all. Good answers to this part considered the caveats of the BSOP and applied them to the valuation of a company.

　　This question had up to four marks allocated as professional marks. Given that many candidates only fail marginally，gaining most of these marks was highly beneficial. Unfortunately，some answers assumed that giving a report-like title was sufficient，which was not the case. Higher professional marks were awarded to answers that gave due care to the structure of the report and the presentation of the answer.

　　Question Three

　　This question required candidates to calculate the returns （income）receivable by investors for each of three tranches of a collateralised loan obligation （CLO）security （part （a））；to explain why and how the credit rating of the CLO security can be enhanced （part （b））；and finally to discuss the risks that the investors of the CLO security would face.

　　Overall this question was the least popular of the three optional questions and also answered less well compared to questions four and five.

　　In part （a），common errors included not calculating the income inflow and outflow correctly，not knowing how to treat the service charges correctly and in a few cases not treating the impact of the swap correctly. Very few answers attempted to estimate the sensitivity of the subordinated certificates to a fall in returns generated by the pool. But most of the answers in part （a）estimated the cash flows related to the A-rated and B-rated bonds correctly.

　　In part （b）few answers were able to explain the purpose of credit enhancement，which was basically to convert a high risk cash flow into a varying range of tranches of different risks. Most answers explained the role of credit rating agencies in credit enhancement，but few answers considered the impact of tranching and of over-collateralisation （in this case only 95% of the pool value was used as collateral） as alternative methods of credit enhancement.

　　In part （c）most answers discussed default and collateral risk quite well but fewer answers considered timing and liquidity risk，and correlation risk.

　　It is surprising that this question was not more popular given the recent financial crisis and its ramifications which continue to affect most of the economies in the world. The P4 syllabus highlights the need for candidates to be familiar with emerging issues in finance and their impact on the financial management activity in companies. It is advisable for candidates to be knowledgeable about the continuing development of finance. Securitisation is an alternative to the more traditional methods of raising finance and it is likely that different forms of securities will continue to be developed.

　　Question Four

　　This question was the most popular and probably the best answered of all the questions on the paper with many candidates gaining a high proportion of the marks for their answers. It asked candidates to consider the issues that need to be considered when disposing a part of a company.

　　Candidates considered a range of relevant issues when answering this question，which were broader than the model answer. The marking scheme allowed the examiner and markers to give credit for alternative but relevant points and therefore the variety of answers did not present any difficulties when awarding marks.

　　Answers gaining fewer marks did not give a large enough variety of issues that needed to be considered in a disposal. Overall though，many answers gained over half marks and some cases over 70% of the total marks for this question.

　　Question Five

　　In part （a），this question asked candidates to convert a number of amounts owing to and owed by group and non-group companies in different currencies into a common currency （Euro），and then to undertake netting to minimise the currency transfers between the group and non-group companies. On the whole，part （a）was done well with the candidates adopting a number of different ways to achieve the netting required. Common errors for this part included not netting to the correct base currency，and in a minority of answers using the incorrect conversion rate for netting purposes.

　　Part （b）asked candidates to discuss the advantages and disadvantages of netting for both group and non-group companies. This part was also done reasonably well with most answers discussing a variety of advantages and disadvantages. Sometimes the answers did not explain the point in sufficient depth and sometimes the same point was repeated. In these circumstances answers gained fewer marks.

　　ACCA2010年12月考试时间：12月6日-15日

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