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sliang · 2024年10月27日

fixed income

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000009

问题如下：

An active investor enters a duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions. Under which of the following yield curve scenarios would you expect the investor to realize the greatest portfolio gain?

选项：

A.

Bear steepening

B.

bull flattening

C.

Yield curve inversion

解释：

C is correct.

A duration-neutral flattening trade involves a short 2-year Bond position and a long 10-year bond position, which have a “matched” duration or portfolio duration of zero. This portfolio will realize a gain if the slope of the yield curve—that is, the difference between short-term and long-term yields— declines. Yield curve inversion is an extreme version of flattening in which the spread between long-term and short-term yields-to-maturity falls below zero.

The bear steepening in A involves an unchanged 2-year yield-to-maturity with a rise in the 10-year yield-to-maturity, causing a portfolio loss. The bull flattening in B combines a constant 2-year yield-to-maturity with lower 10-year rates, resulting in a gain on the 10-year bond position and an unchanged 2-year bond position.

麻烦可以再讲解一下这题么？不明白这题的解题思路是什么。谢谢

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发亮_品职助教 · 2024年10月29日

这道题的题干这句就直接说明的头寸：

duration-neutral yield curve flattening trade that combines 2-year and 10-year Treasury positions

这是一个Duration-neutral的策略，这说明是一个Long-short策略，因为duration-neutral要实现组合整体的duration=0，只有Long-short策略才能实现。

然后是用2-year和10-year的债券构建，且是针对Yield curve flattening的策略。

针对yield curve flattening的策略就是在Yield curve flattening时可以盈利，那应该是long 10-year, short 2-year。

现在题目问，这样的策略，在选项的哪个利率改变中会有最大的收益。

那就是短期利率上升，长期利率下降时，Short 2-year有盈利，且Long 10-year有盈利。

对应就是选项C，选项C的短期利率上升幅度极大，长期利率下跌幅度极大，所以导致出现了yield curve inversion。long 10-year, short 2-year的组合，在这样的利率曲线下，收益会达到最大。

其实Long 10-year + short 2-year，这是一个针对yield curve flattening的策略，只要是发生yield curve flattening，那么都可以盈利。那选项B的Bull flattening下，这个策略肯定也可以盈利。

首先Bull是利率曲线的整体平行下移，long 10-year与short 2-year这是一个duration-neutral策略，整个组合不受利率曲线平行下移的影响。

然后在Flattening时，长期利率相对下降，短期利率相对上升，long 10-year和short 2-year的整体策略可以赚到收益。但这个收益肯定没有选项C的yield curve inversion大。所以本题不选B。

其实选项C的yield curve inverstion是yield curve flattening的极端情况。那么针对yield curve flattening的（long 10-year + short 2-year）策略在选项C的曲线变动下盈利肯定最大。

发亮_品职助教 · 2024年10月29日

Yield curve flattening长期利率相对下降，短期利率相对上升。如果要构建一个针对性的盈利策略，只能是long长期10-year, short短期2-year。因为长期利率下降时，long长期可以获得capital gain；短期利率相对上升时，short短期债券也可以盈利。还有针对yield curve steepening的策略（long短期，Short长期）。看到yield curve flattening strategy和yield curve steepening strategy的策略要能立即反应出来是long,short哪些债券。

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