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cika · 2023年01月29日

麻烦老师讲下这道题

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

麻烦老师讲下这道题，谢谢

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1 个答案

pzqa015 · 2023年01月29日

嗨，努力学习的PZer你好：


把题目背景信息截图上传一下吧，我这看不到。

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