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。