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西红柿面 · 2025年05月21日

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NO.PZ202209060200004206

问题如下:

Central County History Center (CCHC) is a not-for-profit history museum that recently completed fundraising for a new permanent gallery. CCHC plans to contribute a portion of the funds raised to an endowment whose income will support the permanent gallery.

Bill Ronane (CCHC’s president) and Amy McDown (CCHC’s vice president of finance) are meeting with Elizabeth Larent (chief investment officer of Snavely Capital Management). The purpose of the meeting is to discuss the creation of a corporate bond portfolio that is suitable for the endowment.

McDown asks Larent to describe the risk considerations for investment-grade bonds. Larent responds by stating that the primary component of credit risk is loss severity. Furthermore, she states that credit rating migration can cause spread risk to become realized. Larent then states that interest rate risk reflects the positive correlation between risk-free interest rates and credit spreads.

Ronane asks Larent to disclose her methodology for credit security selection. Larent explains that she uses various credit spread measures to ensure that the securities she is considering for purchase are fairly priced. Larent illustrates by providing data for three $100 par value A rated corporate bonds that mature in five years and whose benchmark yield to maturity is 4.00%.

Exhibit 1 Data on Corporate Bonds

McDown expresses concern about the timing of the credit cycle as it relates to constructing a corporate bond portfolio for CCHC. Larent explains that she uses a bottom-up approach to determine which corporate bonds offer the best relative value should the credit cycle deteriorate. Larent then provides the data in Exhibit 2 for three corporate bonds in which the holding period is assumed to be one year.

Exhibit 2 Data on Corporate Bonds

Larent explains that another approach to portfolio construction is top down. She says, “I believe that global economic conditions are going to improve. Credit portfolios that are overweight lower-quality bonds in industry sectors that are highly correlated with the economic cycle, such as industrial metals, will likely outperform a global benchmark. We can use effective duration to assess the impact of a likely steepening in the yield curve. Within credit rating categories, we can underweight longer-maturity bonds given my expectation that the relatively wide spread curve will flatten.”

Ronane asks Larent to discuss the factors that CCHC should consider before investing in the bonds of international companies. Larent replies that the international bond universe consists of companies that are located in both developed markets and emerging markets. In term of factors to consider, Larent states that a company’s credit ratings are independent from the sovereign rating of its domicile and that bankruptcy laws apply equally to all investors of any particular company’s bond issuances. Larent adds that being able to accurately predict credit cycles is important because of regional differences across the global credit universe.

McDown asks whether structured financial instruments should be considered for CCHC’s portfolio. Larent replies yes and states, “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. Moreover, the value of the senior tranches should increase by more than the value of the mezzanine tranches since default correlations are expected to increase.”

Question


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.

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. 

之前经济不好的情况我持有的都是国债,现在经济转好,我投资一些基础资产为公司债的bond,怎么就不能增加分散化了?

1 个答案

发亮_品职助教 · 2025年05月22日

这道题的原始组合是一个corporate bond portoflio哈。(The purpose of the meeting is to discuss the creation of a corporate bond portfolio that is suitable for the endowment)

这块只能基于题目的信息哈,不要过多展开。


如果初始组合是government portfolio,后续加入CDO和corporate bond,的确可以起到一定的分散化作用。但其实这个分散化效果仍然不够好。

题目说是加入CDO,以及CDO的底层公司债:collateralized debt obligations (CDOs) and their underlying corporate bonds should be included in the portfolio

所以相当于加入的是同一个风险敞口,CDO和这个underlying corporate bonds提供的是一样的风险。对于原组合的分散化提升有限。


这道题其实就是想考这个点:CDO与CDO底层公司债之间分散化的效果很差,因为底层的风险一致。

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