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dognmnm · 2022年04月20日

经济衰退的投资

  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.



三选项都有点疑问


a当中的recourse是指什麽的追索? 银行还不上不是本来就是银行的责任吗? 投资人对银行有追索是什么意思?


b是错在经济复苏应该投资低级别债券吗?


c是错在经济衰退时, 利率下降, 所以CLO收到的利息收入减少, 不如CDO吗?

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1 个答案

发亮_品职助教 · 2022年04月20日

嗨，从没放弃的小努力你好：


a当中的recourse是指什麽的追索? 投资人对银行有追索是什么意思?’


Recourse就是债券投资者对银行的追索权。就是mortgage产生的现金流不够偿还Covered bonds时，投资者有权要求银行补充不足的部分，保证Covered bonds现金流的安全。


Covered bond因为存在专属抵押物，所以归还Covered bonds现金流的首先是抵押物Mortgage产生的月供现金流。

然后就是，如果发生了断供，Mortage现金流不够偿还Covered bonds时，又因为Covered bonds是银行自身发生的债券，属于银行的负债，所以债券投资者有权向银行进行追索，那么银行要拿自己的利润，or银行的储备资金归还Covered bonds现金流。


这种Covered bonds投资者的现金流有双重保障：抵押物mortgage，以及债券发行人银行，所以对投资者来讲非常安全。

站在银行的角度，由于Covered bonds是低风险安全的债券，他的融资成本也很低。


投资者对银行进行追索就是因为Covered bonds是银行自身发行的债券，属于银行负债，同时它存在抵押物mortgage，当Mortgage现金流不够支付Covered bonds时，银行有义务需要补充不足的部分，换句话说就是投资者有权对银行追索不足的现金流。


银行还不上不是本来就是银行的责任吗?


是的，由于属于银行负债，本来就是银行的责任。

Covered bonds这里特别强调一下银行有责任偿还不足的部分，这是专门和MBS进行对比的。

其实MBS和Covered bonds都是以Mortgage为抵押物发行的债券，区别就是MBS是银行把mortgage先卖给外部第三方，然后外部第三方才发行MBS，于是银行和Mortgage（MBS）隔离开了，Mortgage（MBS）与银行没有任何关系，就算Mortgage现金流不够，MBS的投资者也无权对银行进行追索，因为银行早已将Mortage卖出，发行MBS并拥有Mortgage的主体是外部第三方不是银行。


但是Covered bonds就不一样了，这个Mortgage抵押物依然在银行的资产负债表上，发行Covered bonds是银行自身，属于银行的负债，所以抵押物Mortgage产生的现金流不够时，银行有责任补充不足的部分。


我们在学Covered bonds时，他强调这个银行的责任，实际上是和MBS进行对比的。


b是错在经济复苏应该投资低级别债券吗?


是的，预期经济复苏，预期债券的违约概率会下降，应该提前布局High-yield bond（Lower-rated bond）。


c是错在经济衰退时, 利率下降, 所以CLO收到的利息收入减少, 不如CDO吗?


是的，CLO的特点是标的资产池是浮动利率。当经济衰退时，利率会下降，于是CLO的收益下降。而CDO的标的物是Fixed-coupon bond。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Yiyun · 2023年03月31日

CDO=collateralized debt obligation？ CLO=Credit-linked bond?

Yiyun · 2023年03月31日

CLO: collateralized loan obligation

发亮_品职助教 · 2023年03月31日

CDO=collateralized debt obligation？ 是的 CLO=Credit-linked bond 不是的，CLO是Collateralized Loan Obligations

Yiyun · 2023年04月02日

好的，老师~！

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