NO.PZ2023040701000094
问题如下:
Cromwell explains that the migration of a company’s ratings can have an impact on the total return of a bond holding. As an example, he selects a 10-year maturity, 5% coupon bond currently trading at par and rated A+ by Standard & Poor’s. He asks Thames to calculate the expected total return over a one-year horizon assuming the bond is downgraded by two notches and to determine why the year-end duration for the bond is 6.9. The average G-spread for corporate bonds across the credit spectrum is shown in Exhibit 2.
EXHIBIT 2 BOND MARKET G-SPREAD BY CREDIT RATING (%)
Assuming no change in market conditions and a flat yield curve and using Exhibit 2, the expected return on Cromwell’s sample bond over a one-year horizon is closest to:
选项:
A.–1.73%.
3.28%.
6.73%.
解释:
Correct Answer: B
The bond is expected to be downgraded from A+ to A–. The G-spread is expected to widen from 0.85% to 1.10% based on market pricing. The expected return over a one-year horizon is, therefore,
[–Duration × (New spread – Initial spread)] + Annual Coupon =[–6.9 × (1.10% – 0.85%)] + 5.00% = 3.275%.
根据这个题目,当债券的信用评级下降,spread增大,假设其它市场条件都不变,债券的价格和收益率会分别怎么变化?
我的理解是,此时债券变差了,应该收益率变低。但是收益率同时也是要求回报率,难道不应该变高吗?
关于价格,我认为一个变差的债券价格应该比之前低才对。但是价格和收益率是成反比的,感觉自己晕了,这些方向前后矛盾了。
请老师帮我梳理一下。
另外还想问下,在实际的债券投资市场中,投资者是想赚债券价格的价差呢,还是想赚收益率的利差呢?低买高卖是怎么界定呀?