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秋秋 · 2025年06月19日

这道题没看懂意思，请解答一下。

  1. CFA III
  2. Fixed Income

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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：

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.

这道题没看懂意思，请解答一下。

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1 个答案

发亮_品职助教 · 2025年06月20日

这是一道协会官网补充的题库题目，第三个statement对于现在的考纲来讲有一些超纲了，考的是CDO的分层结构，现在三级没有涉及这块内容了。其他2个statement用现在学的依然可以分析。


简单说一下这道题如何理解：

For purposes of diversification, both collateralized debt obligations (CDOs) and their underlying corporate bonds should be included in the portfolio.

第一个statements说，为了实现分散化，应同时投资CDOs和CDOs的底层资产公司债组成一个portfolio。

这个说法错误。因为CDOs本质就是底层资产公司债的打包，投资CDOs其实获得的就是公司债的头寸。如果再去买底层资产公司债券，并且和CDOs形成组合。那就是买了相同的头寸拼成了组合，起不到任何分散化的作用。

所以关于diversification的描述错误。


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.

第二个statement说，AA评级的CDOs，算出来的yield spread反映的是BB的评级。

yield spread是根据市场价格反算出来的收益补偿，所以意思是市场价格体现的CDOs评级为BB级别，但是CDOs实际级别确实AA级别、其底层资产实际为AA级别的债券。

这说明市场的估价和CDOs的真实价值有偏离。即，市场价格过低，导致算出来的折现率——风险补偿yield spread过高，反映BB级别。偏离了其真实评级AA级别。

所以套利的操作应该是：买入被低估的CDOs，同时卖出其底层资产债券AA级别的公司债。等待CDO的价格回归赚取套利价差。

这样的偏离的确会给长期投资者带来significant relative value，关于relative value的描述正确。


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.

第3个statement讨论分层结构，这个超纲了。CDO分成了senior级别和mezzanine级别。

他说当底层资产池的default correlation上升时，senior级别的value会相对上升。

这个说法错误。

在分层结构里面，底层资产的cash flow优先偿还senior级别，底层资产有亏损时，Mezzanine层级承担亏损，目标是保证senior级别的安全。


当底层资产的default correlation上升时，会出现大面积underlying asset同时违约的情况，这会导致亏损极大，亏损会侵蚀掉所有mezzanine，甚至还影响到了senior的安全。这时候senior的风险较大，也会有亏损，其value下降。

所以senior级别不喜欢高default correlation。senior层级喜欢低的default correlation，因为当default correlation比较低时，只有零星的违约，违约损失会被mezzanine吸收干净，不会波及到senior层级。应该是当default correlation下降时，senior层级的value上升。satement 3的描述刚好反了。

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