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梁 · 2022年01月24日

能解释一下为何B不对么

  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.

经济复苏的话觉得B也Ok、，，

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pzqa015 · 2022年01月25日

嗨，从没放弃的小努力你好：


这句话结论说反了，在经济复苏时，credit spread大的资产表现更好，对应的应该是lower rated ABS tranches，而不是higher rate ABS tranches。

偏优先级ABS在经济差时更attractive，因为违约可能性小；偏劣后级的ABS在经济复苏时更attractive，因为违约可能性会下降，有超额收益。

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努力的时光都是限量版，加油！

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