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梦阳紫依 · 2023年07月15日

cash flow yield怎么判断

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000015

问题如下：

The second project for Serena is to help Trey immunize a $20 million portfolio of liabilities. The liabilities range from 3.00 years to 8.50 years with a Macaulay duration of 5.34 years, cash flow yield of 3.25%, portfolio convexity of 33.05, and basis point value (BPV) of $10,505. Serena suggested employing a duration-matching strategy using one of the three AAA rated bond portfolios presented in Exhibit 2.


Which portfolio in Exhibit 2 fails to meet the requirements to achieve immunization for multiple liabilities?

选项：

A.

Portfolio A

B.

Portfolio B

C.

Portfolio C

解释：

Correct Answer: A

A is correct. The two requirements to achieve immunization for multiple liabilities are for the money duration (or BPV) of the asset and liability to match and for the asset convexity to exceed the convexity of the liability. Although all three portfolios have similar BPVs, Portfolio A is the only portfolio to have a lower convexity than that of the liability portfolio (31.98, versus 33.05 for the $20 million liability portfolio), and thus, it fails to meet one of the two requirements needed for immunization.

如果不考虑其他因素，仅仅看cash flow yield，哪个asset portfolio的cash flow yield可以满足liability portfolio的cash flow yield？ 是大于还是小于好？


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2 个答案

pzqa31 · 2023年07月17日

嗨，爱思考的PZer你好：


原版书上没提到过cash flow yield的性质，所以不要用CFY来判断。

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pzqa31 · 2023年07月16日

嗨，从没放弃的小努力你好：


没有这样的说法，在构建免疫策略的时候，无论原版书还是讲义都没有提到cash flow yield是免疫条件。


不过，我们倒是从cash flow yield（CFY）的含义来理解一下，cash flow yield就是portfolio 的IRR、YTM，如果收益率曲线不变，这个cash flow yield就是realized return。结合免疫策略来思考，我们match single liability时，因为到期要归还负债，所以资产、负债的FV要相等。构建免疫策略条件之一就是资产、负债的PV相等。所以资产、负债的折现率Cash flow yield就必然相等。当然，这道题是multiple liability，在构架免疫策略的时候，需要PVA≥PVL,我们暂且简化按照等于来理解。如果Portfolio是immunized，那么在收益率曲线发生第一次变动的时候，cash flow yield应该是不变的，因为Mac duration=investment horizon等价于Portfolio price risk=reinvestment risk，投资portfolio的realized return=YTM，就相当于收益率曲线未发生变化。当然，如果PVA大于而不等于PVL，此时CFY就不好判断了。

 

以上讲解仅供理解。从考试做题的角度，并不建议按照cash flow yield角度来判断，还是按咱们讲义上的免疫策略条件来做题即可。

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梦阳紫依 · 2023年07月16日

multiple liab中，如果让PVA大于PVL，又用cash flow yield折现，那是不是可以理解成cash flow yield小一点，可以使得asset PV更大一点，从而满足PVA大于PVL这个条件？

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