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xgxinw · 2025年02月09日

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NO.PZ202209060200004406

问题如下:

Based on Choate’s final comments and the COF portfolio positions in Exhibit 1, Choate is most likely expecting:

选项:

A.improved real estate markets and higher interest rate volatility. B.lower interest rate volatility and increasing default correlations. C.lower interest rate volatility and decreasing default correlations.

解释:

Solution

B is correct. Choate expresses his belief that market expectations of interest rate volatility will decrease, so he buys agency MBS in the COF portfolio. The correlation of expected defaults on the collateral of a CDO affects the relative value between the senior and subordinated tranches; as default correlations increase, the value of mezzanine tranches usually increases relative to the value of senior tranches. Because he expects the correlation to be highly positive, he can try to profit by selling the lower yielding (or selling short) Class A and buying the higher yielding Class B.

A is incorrect because an investor buying MBS expects lower, not higher, volatility.

C is incorrect because an investor that expects higher correlations would short Class A and go long Class B.

老师,关于int rate vol, structure product MBS---能increase int vol的敞口,对利率变化更敏感 因为想callable bond (学习的时候角度)

这道题角度为什么从long mbs=long callable,预计r不会下降,发行人不对行权的角度出发啊


我一看说可以买mbs,就选了增加了int rate vol的敞口,对利率更敏感了

1 个答案

发亮_品职助教 · 2025年02月10日

Long MBS和long callable bond,里面含有的是short call option,option是volatility的载体,所以long MBS or Long callable bond里的short option获得short volatility头寸哈。


把MBS当成callable bond分析。

MBS的底层资产是房贷,以房贷为抵押物发行MBS债券。MBS的真正发行人是贷款买房子的人,因为他们每月的月供现金流偿还MBS债券投资者的cash flow。


贷款买房的人可以提前偿还房贷,当提前偿还时,就要把cash flow提前支付给MBS投资者,其实就是提前赎回了MBS债券。

所以,MBS的投资者面临债券被提前赎回的风险。


这和callable bond的机制一样,投资callable bond的投资者也是面临债券被提前赎回的风险。所以才说把MBS当成callable bond分析,因为投资者都是面临被提前赎回的风险。


投资者long callable bond/Long MBS = long option-free bond + short call option

债券的发行人拥有call option提前赎回权利,所以投资者是short call option头寸。


当投资者买了MBS,获得了short call option/short volatility的头寸。这意味投资者预期未来的volatility会降低/下降,short volatility头寸盈利。


或者换个角度理解,预期volatility降低,利率不会有大波动,标的物债券的价格不会发生太大波动,不会触发call option被行权,所以投资MBS是安全的。于是才选择投资callable bond/MBS

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