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：
SolutionA 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.
老师好，关于这道题的A和B我的理解是这样的，您看对不对：
“The credit cycle is expected to improve. For purposes of diversification, both collateralized debt obligations (CDOs) and their underlying corporate bonds should be included in the portfolio. 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.”
大背景：环境会变好
为了做分散化，要同时买CDO和CDO底层的corporate bond——这个应该不太对，要么只买CDO要么只买底层，同时买肯定不是分散化。
现在AA的CDO提供的相对价值比BB的预期违约率要高“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.”——这句话是什么意思我没太明白，意思是说AA的CDO现在比BB的CDO值钱么？
