老师，为什么根据下表能推出购买MBS是认为volatility下降？题眼在哪里？
Choate’s final comments to Hale detail how he also looks for structured financial instruments that offer diversification benefits and attractive expected returns. These are listed in Exhibit 1, which shows recent COF portfolio positioning relative to the benchmark and reflects various opportunities Choate has uncovered across several markets.
Based on Choate’s final comments and the COF portfolio positions in Exhibit 1, Choate is most likely expecting:
- improved real estate markets and higher interest rate volatility.
- lower interest rate volatility and increasing default correlations.
- lower interest rate volatility and decreasing default correlations.
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.
