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陈Shelly · 2022年05月18日

在这一部分学的excess spread return 应该跟spread 挂钩啊 为啥直接算作rdc和rfc呢

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200003101

问题如下：

What is the approximate unhedged excess return to the United States–based credit manager for an international credit portfolio index equally weighted across the four portfolio choices, assuming no change to spread duration and no default losses occur?

选项：

A.

–0.257%

B.

–0.850%

C.

0.750%

解释：

A is correct. We solve for the excess spread by subtracting Expected Loss from

the respective OAS:


Recall that the United States–based investor must convert the euro return to US dollars using RDC = (1 + RFC) (1 + RFX) – 1, so the USD IG and USD HY positions comprising half the portfolio return an average 0.80%, while the EUR IG and EUR HY positions return –1.314% in US dollar terms (= ((1 + ((0.65% + 0.75%)/2)) × 0.98) – 1), so –0.257% = ((0.80% – 1.314%)/2).

为什么汇率里的expected return是这道题里的 excess spread return 呢？

我好像有点钻进牛角尖儿了，我是把最后一列的loss 当成expected return带入 rdc=（1+rfc）（1+rfx）-1 中的。

咱们在这一部分学的excess spread return 应该跟spread 挂钩啊 为啥直接算作rdc和rfc呢

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2 个答案

lynn_品职助教 · 2023年01月12日

嗨，努力学习的PZer你好：


嗯 这道题改一下更好

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

lynn_品职助教 · 2022年05月18日

嗨，从没放弃的小努力你好：


这道题有问题，题目说了no change to spread duration，但并没有已知△spread的变化，所以，EXR公式的第二项△spread*ED无法判断是多少；同时no default losses occur，所以EXR公式的第三项为0.


那么四只债券的EXR就是spread0。


由于有欧元债券，所以，还要用到RDC=(1+RFC)(1+RFX)这个公式，把欧元债收益换算成美元收益。


最终，USD IG的EXR=1.25%;USD HY的EXR=3%；EUR IG的EXR=（1+1.15%）(1-2%)-1=-0.873%; EUR HY的EXR=（1+3.25%）（1-2%）-1=1.185%。


四只债equally weighted，所以，总收益为1/4(1.25%+3%-0.873%+1.185%)=1.1405%


咱们在这一部分学的excess spread return 应该跟spread 挂钩啊 为啥直接算作rdc和rfc呢


至于同学这个问题，我们就当这道题是挂羊头卖狗肉了，其实它主要想考察的是RDC=(1+RFC)(1+RFX)这个公式的计算。

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加油吧，让我们一起遇见更好的自己！

程冠林 · 2023年01月12日

那这道题三个选项都没有正确答案了？

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