Q.
Which of the following statements about the role of structured products in an active credit portfolio is most accurate?
- 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.
- Higher-rated ABS tranches are attractive for active investors seeking to overweight default risk when the credit cycle is in recovery.
- 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？
