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.
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.
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.
1、因为之前看到一个助教老师的回复是“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。”
所以可以理解为：随着经济下滑，利率下降，
CLO和CDO的收益都下降，然后CLO要比CDO表现得更差，下降得更多呢？
还是只有CLO收益下降，CDO不受影响呢？
2、发亮老师之前解释了在slowdown的时候的情况，对于经济复苏recovery时的情况，我的理解是：
经济复苏recovery→spread↓→low rating(HY) bond price↑；
经济复苏recovery→ST利率↑→基础资产flaoting rate loan CF↑→CLO投资者利息↑→CLO收益上升