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广鑫george · 2021年03月30日

问一道题:NO.PZ2019103001000083 [ CFA III ]

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

请问老师选项b为什么错呢谢谢

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发亮_品职助教 · 2021年03月31日

嗨,爱思考的PZer你好:


请问老师选项b为什么错呢谢谢


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


这句话说,将组合里的Corporate bonds替换成CDOs,会给组合带来Meaningful diversification的效果。


关键是错在Meaningful diversification。


卖掉组合内的公司债,替换成CDO,只能提供一定程度的、或者是很小程度的Diversification效果,而不是Meaningful diversification。


原因是,CDO的底层资产也还是Corporate bonds,我们将组合内的Corporate bond卖掉,买入CDO,这种转换,实际上是将几个公司债的头寸换成了一堆公司债的头寸,Portfolio依然拥有对公司债这个群体的Exposure,从这个角度来看,能提供一定的分散化效果,但Exposure依然会集中在公司债里面,所以这不是Meaningful的分散效果。Meaningful diversification需要更多大类资产间的分散。


这点是结论,考试以考定性结论为主,可参考原版书原句:

The collateral for a CDO is usually corporate loans or bonds. As a result, CDOs do not provide much diversification benefit compared with corporate bonds。

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