没有看懂这句话，烦请老师解释一下

NO.PZ202209060200004206 问题如下 CentrCounty History Center (CCHis a not-for-profit history museum threcently completefunaising for a new permanent gallery. CCHC plans to contribute a portion of the fun raiseto enwment whose income will support the permanent gallery.Bill Ronane (CCHC’s presint) anAmy Mcwn (CCHC’s vipresint of finance) are meeting with Elizabeth Larent (chief investment officer of Snavely CapitManagement). The purpose of the meeting is to scuss the creation of a corporate bonportfolio this suitable for the enwment.Mcwn asks Larent to scrithe risk consirations for investment-gra bon. Larent respon stating ththe primary component of cret risk is loss severity. Furthermore, she states thcret rating migration ccause sprerisk to become realize Larent then states thinterest rate risk reflects the positive correlation between risk-free interest rates ancret sprea. Ronane asks Larent to sclose her methology for cret security selection. Larent explains thshe uses various cret spremeasures to ensure ththe securities she is consiring for purchase are fairly price Larent illustrates proving ta for three $100 pvalue A ratecorporate bon thmature in five years anwhose benchmark yielto maturity is 4.00%. Exhibit 1 ta on Corporate BonMcwn expresses concern about the timing of the cret cycle it relates to constructing a corporate bonportfolio for CCHLarent explains thshe uses a bottom-up approato termine whicorporate bon offer the best relative value shoulthe cret cycle teriorate. Larent then provis the ta in Exhibit 2 for three corporate bon in whithe holng periois assumeto one year. Exhibit 2 ta on Corporate BonLarent explains thanother approato portfolio construction is top wn. She says, “I believe thglobeconomic contions are going to improve. Cret portfolios thare overweight lower-quality bon in instry sectors thare highly correlatewith the economic cycle, suinstrimetals, will likely outperform a globbenchmark. We cuse effective ration to assess the impaof a likely steepening in the yielcurve. Within cret rating categories, we cunrweight longer-maturity bon given my expectation ththe relatively wi sprecurve will flatten.” Ronane asks Larent to scuss the factors thCCHC shoulconsir before investing in the bon of internationcompanies. Larent replies ththe internationbonuniverse consists of companies thare locatein both velopemarkets anemerging markets. In term of factors to consir, Larent states tha company’s cret ratings are inpennt from the sovereign rating of its micile anthbankruptlaws apply equally to all investors of any particulcompany’s bonissuances. Larent as thbeing able to accurately precret cycles is important because of regionfferences across the globcret universe. Mcwn asks whether structurefinanciinstruments shoulconsirefor CCHC’s portfolio. Larent replies yes anstates, “The cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin the portfolio. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral. Moreover, the value of the senior tranches shoulincrease more ththe value of the mezzanine tranches sinfault correlations are expecteto increase.” Question Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. The cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin 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bon怎么就不能增加分散化了？

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral.这句话的意思是同一只主体AA评级的C的yielsprea映的是BB评级的C的违约概率，所以说AA评级的违约风险被高估了，也就是sprea高估了。所以rateCs价格低估（sprea了BB级别，更高sprea导致更低价格），所以应该long但是rateCs的unrlying bon，价格正常，因为spreaAA级别，相对于错误定价的rateCs，价格更高，所以可以short底层资产，拿short的钱去long rateCs来套利

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe senior tranche whenever correlations increase. Cfault correlations are expecteto increase.这不是说明大环境在变差，fault correlation在上升吗，C为什么错

NO.PZ202209060200004206 问题如下 Whiof Larent’s statements about structurefinanciinstruments is most likely correct? The statement about: A.relative value. B.versification. C.the value of the senior tranches. SolutionA is correct. Laurent’s statement about relative value is correct. Cs are securities whose unrlying cash flows are the interest anprincipof the unrlying instruments thare pleecollateral. Whenever the value of a C is fferent from the value of its unrlying collater(in this example, the C value is lower impliethe rating of its unrlying instruments), arbitrage opportunity exists. In this example, the tra opportunity is to (1) short (alternatively, purchase cret fault swaps on) the unrlying bon an(2) purchase the unrvalueC. B is incorrebecause the collaterfor a C consists of its unrlying corporate bon. Accorngly, there is no versification benefit.C is incorrebecause the mezzanine tranche of a C increases more ththe 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 cret cycle is expecteto improve. For purposes of versification, both collateralizeobligations (Cs) antheir unrlying corporate bon shoulincluin the portfolio. rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral.”大背景环境会变好为了做分散化，要同时买C和C底层的corporate bon—这个应该不太对，要么只买C要么只买底层，同时买肯定不是分散化。现在AA的C提供的相对价值比BB的预期违约率要高“rateCs currently offer significant relative value for long-term investors the yielsprereflects a fault rate expectation for the unrlying collateral.”——这句话是什么意思我没太明白，意思是说AA的C现在比BB的C值钱么？