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Sunnie · 2024年07月05日

为什么是increasing default correlation

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

如题，为什么是increasing default correlation

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发亮_品职助教 · 2024年07月05日

这是协会官网的一道补充题目，对于现在的考纲来讲有一点点超纲哈。


Default correlation是指证券化产品的抵押物资产（collateral，或者称为底层资产）之间的违约相关性，这个会直接影响到senior tranche与Subordinated tranche之间的头寸选择。


这道题就是要看表格1里面的senior/subordinated tranche的相对头寸来判断default correlation的高低（涨跌）。


题干里面，Portfolio是short 10% senior tranche，long 10% subordinated tranche，说明他是不看好senior tranche的，反而认为subordinated tranche是具有投资价值。


那我们就得分析一下，在哪些情况下senior tranche的表现会好以及不好。在证券化的结构里面，正常讲senior tranche是非常安全的，信用质量高，信用风险低。因为一旦当抵押物资产有违约时，会有subordinated层级来先承担违约的亏损，目的就是保证senior tranche的现金流安全。这样的分层结构就使得senior层很安全，而subordinated层相对风险较大。但注意，Subordinated层并不能吸收掉所有亏损，如果底层资产的违约太多了，那这时候很有可能把subordinated层亏干净，此时senior层自己就要承担亏损了。


所以，short 10%的senior tranche，就是认为会出现大面积底层资产的违约，违约太多了，于是导致subordinated层都亏干净了，所以senior层会表现差。

那当底层资产之间的default correlation这个相关系数高时，会出现大面积违约。因为相关系数越高，表示底层资产间的违约与不违约的情况越一致，correlation系数高的背景下，一旦有一个底层资产违约，那意思是有很多collateral底层资产也一样违约。所以可以判断出来，是基于default correlation高or increasing的背景，选择short senior tranche。


同时，当default correlation高时，也会出现大家都不违约的情况，因为correlation高意思是大家的违约与否是一致趋同的， 那此时很容易出现大家都不违约的情况。在这种情况下，subordinated层就不用吸收亏损，同时subordinated层本身有较高的coupon（因为风险高，所以给投资者的coupon高），那么long subordinated层的收益就高。


所以基于以上分析，long subordinated层short senior层是在increasing default correlation（或高default correlation）的背景下是盈利的策略。

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