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卓越 · 2025年06月20日

请问这个CDO是哪个知识点呢

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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.

没太理解违约相关性上升,为什么是做多夹层资产的逻辑

1 个答案
已采纳答案

发亮_品职助教 · 2025年06月22日

这是协会官方补充的题目,但是现在这个小题已经有点超纲了,是旧考纲的内容。现在原版书在结构化产品里面没有讨论这么多了,现在都是概念的讨论:


简单说下理解:

Senior和mezzaine的结构里面,mezzanine优先吸收底层资产的亏损,保证senior级别的cash flow安全。

所以senior级别相对安全,而mezzanine级别相对风险高。在收益补偿上,senior级别因为安全则fixed coupon低。mezzanine因为风险高,则coupon高,而且售价便宜。


当底层资产的default correlation比较高的时候,考虑一种极限correlation=+1,意思是底层资产要么同时都违约,要么同时都存在。所以correlation越高,越容易发生大面积底层资产的违约,或者出现大面积不违约的情况。底层资产的表现很极端。

那么存在一种可能,就是底层资大面积没有违约,底层资产表现很好,这时候原本用来吸收亏损的mezzanine层级现在不用吸收了,其收益反而会意外的好,而且因为他的coupon给的高,所以这种情况下收益率高。投资价值相对上升。

同时,当default correlation高出现大面积违约的时候,有可能会把mezzanine亏干净,而且会伤及到senior级别。所以senior的投资价值相对下降。

所以在default correlation高时,mezzanine的value相对上升,senior的value相对下降。应该去投mezzanine。


当default correlation比较的低的时候,底层资产总是有零星的违约,零星的违约会被mezzanine层级吸收,mezzanine层级总是会承担一点亏损,所以他的收益率相对较低。

同时因为底层资产的亏损不大,mezzanine可以完全吸收亏损,则senior非常安全。那么senior的value相对上升,mezzanine因为总是有一点亏损要吸收,其value相对下降。所以在default correlation低的时候,应该投资senior。

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