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轩羊羊 · 2023年07月11日

不理解

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NO.PZ202209060200004206

问题如下:

Which of Larent’s statements about structured financial instruments is most likely correct? The statement about:

选项:

A.relative value. B.diversification. C.the value of the senior tranches.

解释:

Solution

A is correct. Laurent’s statement about relative value is correct. CDOs are securities whose underlying cash flows are the interest and principal of the underlying debt instruments that are pledged as collateral. Whenever the value of a CDO is different from the value of its underlying collateral (in this example, the CDO value is lower as implied by the BB rating of its underlying debt instruments), an arbitrage opportunity exists. In this example, the trade opportunity is to (1) short (alternatively, purchase credit default swaps on) the underlying bonds and (2) purchase the undervalued CDO.

B is incorrect because the collateral for a CDO consists of its underlying corporate bonds. Accordingly, there is no diversification benefit.

C is incorrect because the mezzanine tranche of a CDO increases by more than the senior tranche whenever correlations increase.

AA rated CDOs currently offer significant relative value for long-term investors as the yield spread reflects a BB default rate expectation for the underlying collateral.这句话怎么理解?谢谢

1 个答案

pzqa015 · 2023年07月11日

嗨,努力学习的PZer你好:


AA 级的CDO价格反映出的违约率是BB级CDO的,换句话说,AA级别的spread被高估了,也就是它的价格被低估了,所以,可以提供更大的相对价值。

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