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MarinaC · 2020年08月09日

问一道题:NO.PZ2019103001000083

问题如下:

Two of the structured financial instruments that Easton and Avelyn are considering for Dynamo’s portfolio are collateralized debt obligations (CDOs) and covered bonds. Easton and Avelyn make the following comments about the securities.

Easton: If the correlation of the expected defaults on the CDO collateral of the senior and subordinated traches is positive, the relative value of the equity tranche compared with the senior and mezzanine tranches will increase.

Avelyn: Replacing a portion of the corporate bonds with CDOs will provide meaningful diversification to the investment portfolio.

Avelyn: Investing in covered bonds will give us the yield increase we are seeking compared with investing in corporate bonds or asset-backed securities.

Which comment regarding CDOs and covered bonds is accurate?

选项:

A.

Easton’s comment

B.

Avelyn’s first comment

C.

Avelyn’s second comment

解释:

A is correct.

CDOs typically include some form of subordination. With subordination, a CDO has more than one bond class or tranche, including senior bond classes, mezzanine bond classes (which have credit ratings between senior and subordinated bond classes), and subordinated bond classes (often referred to as residual or equity tranches). The correlation of expected defaults on a CDO’s collateral affects the relative value between the senior and subordinated tranches of the CDO. As correlations increase, the values of the equity tranches usually increase relative to the values of the senior and mezzanine tranches

何老师强化课讲相关系数升高, Senior Value下降,夹层上升,Equity的Value下降,所以这个答案到底是什么,晕了已经,到底哪个才是勘误的答案,应该要以哪个为准

2 个答案

发亮_品职助教 · 2021年02月28日

嗨,从没放弃的小努力你好:


“equity是什么层”


Equity tranche就是求偿顺序排最后一位的层级。


在这种3层的分层结构里,Senior层是优先级别最高的债券层,有固定的Coupon,但求偿顺序高、承担的信用风险最低,所以其Coupon rate较低;


Mezzanine为中间层,求偿顺序低于Senior层,底层资产产生的现金流,优先偿还Senior层,有剩余才偿还Mezzanine,因此Mezzanine层的信用风险比Senior更高,所以Mezzanine层的Coupon rate也会更高。

Senior层与Mezzanine层都是债券。


而Equity tranche为求偿顺序最低的层级,当现金流依次偿还完Senior层、Mezzanine层之后,还有现金流的话才会偿还Equity层,因此Equity层拿到的是“剩余价值”;当然,如果底层资产有亏损的话,Equity层优先吸收亏损,以保证Senior层级的现金流安全。


所以Equity层有点像股票,他不会约定现金流,Equity层最后的收益是多少,就要看底层资产的现金流归还掉Senior/mezzanine层级之后,还剩余多少现金流,剩余的部分才归Equity层。当然,如果底层资产产生的现金流都不够归还Senior与Mezzanine层的,说明底层资产有亏损,此时Equity优先吸收亏损,以保证Senior层与Mezzanine层的现金流安全。

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WallE_品职答疑助手 · 2020年08月10日

同学你好,

以勘误为准,这里就是选A的

您就这么想,correlation上升的极限就是1,要么违约,要么都不违约,都不违约的话,我equity层还能拿到最高的收益率(因为卖的最便宜)。

胡斌 · 2020年10月17日

请问堪什么误了?另外,A的确是对的。但是B为什么是错的?

WallE_品职答疑助手 · 2020年10月17日

详见我的评论和答案, 至于B为什么不对,因为CDO的标的物也是公司债,起不到分散的作用

翱 · 2020年10月28日

我们知道B和C是错的,现在要搞清楚的是A的细节到底对不对。 这题是原书课后原题,P215的第15题,原中“the relative value of the mezzanine tranche ”,而该题目主体变成了“ the senior and mezzanine”。 如果我没记错,老师在课后题讲解是这样说的: (1)优先和次级关系为负相关,则不会通胀通跌,始终有次级去承担跌幅,优先级是有利的; (2)优先和次级关系为正相关,则会通胀通跌,次级有了和优先一样的赚钱可能性,所以次级有利,优先不利,而夹层若要考虑,也是有利的。 所以,针对A,勿提及BC,到底课后题讲解和助教的讲解,谁是对的?

小叶子11 · 2021年02月28日

equity是什么层

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NO.PZ2019103001000083 请问这里的correlation指的是谁和谁的correlation呢?如果说的是优先和夹层的correlation,为什么会影响到劣后层?

2021-09-16 09:57 1 · 回答

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2021-04-07 22:41 2 · 回答

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2021-03-30 20:23 1 · 回答

NO.PZ2019103001000083 Also, I n't unrstanthe last sentenof the explanation below \"我equity层还能拿到最高的收益率(因为卖的最便宜)\". Please help! Thank you! WallE_品职答疑助手 · 8 个月前 同学你好, 以勘误为准,这里就是选您就这么想,correlation上升的极限就是1,要么违约,要么都不违约,都不违约的话,我equity层还能拿到最高的收益率(因为卖的最便宜)。

2021-03-29 12:43 1 · 回答

这道题前面的都越看越晕了,可不可重新理一下思路,考点在哪里

2020-11-02 22:20 1 · 回答