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凉茶325 · 2022年04月21日

C答案的解释是图中的还是文字描述的

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.


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。



1 个答案

lynn_品职助教 · 2022年04月21日

嗨,爱思考的PZer你好:


仅从这道题的角度来看,图中的和文字描述的两个解释逻辑都是正确的。
如果经济下行但是债券没有违约,加上题干中提到 CDO与CLO是similar ratings,那么考虑利率变化,CDO更好。
如果经济下行导致债券违约,那么两个是一样的,不存在CLO优于CDO的情况。
同学掌握相关知识点即可,个人认为经济下行的条件下,可以优先考虑信用风险。


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