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滴滴姐姐~ · 2022年01月10日

我来问问C吧。。

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000032

问题如下：

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

选项：

A.

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.

B.

Higher-rated ABS tranches are attractive for active investors seeking to overweight default risk when the credit cycle is in recovery.

C.

CLO tranches are more advantageous than CDO tranches with similar ratings under an economic slowdown scenario.

解释：

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.

economic downturn的时候 会有紧缩的货币政策对吧，那CLO的基础资产是floating bond，自然就比普通debt的Cashflow好了！

为啥C错了呢。。

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2 个答案

pzqa015 · 2022年03月14日

嗨，爱思考的PZer你好：


economic downturn是指经济下滑。

即使是CLO现金流下降，但分母的折现率也下降，所以根据这个没法判断它value的变化


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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

pzqa015 · 2022年01月11日

嗨，从没放弃的小努力你好：


CDO与CLO的基础资产都是投机级别的债券或者企业贷款，在economic downturn时，这些信用评级较低的企业违约概率很高，此时，float rate与fixed rate已经没有什么本质区别，很可能都还不上，所以，不存在比普通debt cash flow 好的情况。没有C这个结论哈。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

PandaCPA · 2022年03月14日

为什么downturn是紧缩呢？不是会降息，CLO 的cashflow变低？

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