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Dongying · 2023年12月28日

structured products

Q.

Which of the following statements about the role of structured products in an active credit portfolio is most accurate?

  1. Covered bonds perform relatively well in a downturn versus other fixed-income bonds with real estate exposure because a covered bond investor also has recourse to the issuer.
  2. Higher-rated ABS tranches are attractive for active investors seeking to overweight default risk when the credit cycle is in recovery.
  3. CLO tranches are more advantageous than CDO tranches with similar ratings under an economic slowdown scenario.

Solution

A is correct. Covered bonds perform relatively well in a downturn versus other fixed-income bonds with real estate exposure because the investor also has recourse to the issuer


怎么理解covered bond investor has recourse to the issuer呢?这是什么意思?我以为covered bon是指可以从asset和银行经营两方面得到收益


C 错在哪里呢?我以为和CDO相比CLO是floating rate 在slowdown的时候MRR上涨所以CLO更比CDO收益更好?

2 个答案
已采纳答案

pzqa015 · 2023年12月29日

嗨,从没放弃的小努力你好:


CLO与CDO的本质是一样的,区别是一个底层是垃圾债,一个底层是垃圾贷款。所以,二者在不同经济周期的表现没有太大差异,谈不上一个比另一个好。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa015 · 2023年12月29日

嗨,爱思考的PZer你好:


covered bond是一级讲过的知识点,这类债券有抵押物,如果债券违约了,抵押物和发行人都承担偿还责任,相当于有了双重保障。

对应的是信用债,只有发行人承担偿还责任;ABS,只有抵押物(底层资产)承担偿还责任。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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