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.
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.
这句话的意思是同一只主体AA评级的CDO的yield spread反映的是BB评级的CDO的违约概率，所以说AA评级的违约风险被高估了，也就是spread被高估了。
所以AA rated CDOs价格低估（spread用了BB级别，更高spread，导致更低价格），所以应该long
但是AA rated CDOs的underlying bonds，价格正常，因为spread是AA级别，相对于错误定价的AA rated CDOs，价格更高，所以可以short底层资产，拿short的钱去long AA rated CDOs来套利
