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yan · 2025年02月03日

违约相关性没看懂，请帮忙解释一下，谢谢

  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.

违约相关性没看懂，请帮忙解释一下，谢谢

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1 个答案

发亮_品职助教 · 2025年02月03日


这道题要基于表格1的上图。


关于structured products，要看portfolio与benchmark的不同头寸，基于头寸的不同来找到投资者的观点。


首先就是Benchmark没有投MBS，但portfolio投资了10%在MBS上。说明投资者看好MBS。


投资者投资MBS相当于是投资了Callable bond。

因为MBS的底层资产是房贷，贷款买房子的人每个月的月供现金流偿还MBS投资者的coupon与本金，相当于贷款买房的人是MBS债券真正的发行人。

而且，贷款买房的人有权利提前偿还房贷，当他们提前偿还房贷时，就相当于提前赎回了MBS债券，将cash flow支付给MBS投资者。所以投资MBS的投资者面临提前赎回的风险。


这与callable bond一样，因为投资callable bond也面临被提前赎回债券的风险。所以，投资MBS就相当于投资了Callable bond。

碰到Long MBS就当成Long callable bond分析。


之所以portfolio投资了MBS，就是认为将来发行人不会提前偿还房贷，不会行使提前赎回权call option。所以，对于interest rate volatility的预期是low interest rate volatility，因为当利率波动率低时，不会触发期权行权。


第二个不同就是投资了CDO，是short了10%的权重在Senior tranche上，long了10%的头寸在subordinated tranche上

说明投资者看好subordinated层级，不看好senior层级。


CDO底层资产的correlation影响着senior与subordinated层级的相对value。

在这个分层结构里，senior级别有非常安全的cash flow，因为当底层资产损失时，优先由subordinated层级承担亏损，保障senior级别cash flow的安全性。


而底层资产间的default correlation影响着亏损的严重程度。

当底层资产的default correlation下降、或者比较低时，意思是分散化效果好，底层资产有零星的违约。不会出现大面积违约。

这时候底层资产的亏损基本都被suboridinated层级吸收了，不会影响到senior层级的安全性。

所以senior层级非常安全，其value上升；但是subodinated层级总是吸收零星的亏损，其value下降。


当default correlation比较高，or上升时，意思是底层资产的表现会更加同步，要么同时出现大面积违约，要么都不违约。


当出现大面积违约时，subordinated层级会亏干净，甚至会亏损到senior层级。这时候senior层级的安全性极低，所以其value下降。

而当底层资产都不违约时，subordinated层级不用吸收亏损，而且因为subordinaed层级本身coupon就高，所以可以赚一个稳定的高收益，此时其value上升。

总之，在default correlation高、上升时，subordinated层级有一定机会博取高收益，所以其value上升。


本题策略是short senior层级，long subordinated层级，所以是预期subordinated value上升，即预期未来的default correlation上升。

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