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mandy · 2024年10月31日

可以请老师把三个选项都解释一下吗？

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000033

问题如下：

An active fixed-income manager is evaluating the relative performance of an investment-grade corporate versus a high-yield corporate debt allocation in a fixed-income portfolio.

Which of the following analytical model assumption changes is most likely to reduce the future value of the high-yield portfolio relative to the investment-grade holdings?

选项：

A.

Steepening of the benchmark yield volatility curve.

B.

Decreased likelihood of an economic slowdown.

C.

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

解释：

C is correct. Under a “flight to quality” scenario, macroeconomic factors driving government bond YTMs lower cause high-yield bond credit spreads to rise because of an increased likelihood of and expected higher severity of financial distress.

This relationship is captured in the difference between empirical and analytical duration measures.

可以请老师把三个选项都解释一下吗？想知道这道题的完整的答题思路，谢谢~

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发亮_品职助教 · 2024年10月31日

这道题问：相对于investment-grade bond，在哪种情况下，会导致high-yield bond的future value会相对减少。

也就是说，选项哪个情况出现时，会使得两者的价差变大，而且是因为high-yield bond的价格下跌引起的。

选项A：

Steepening of the benchmark yield volatility curve.

benchmark波动率曲线变steepening，那也就是短期基准利率的波动率相对下降，长期基准利率的波动率相对上升。

基准利率波动率的改变对investment-grade bond与High-yield bond的价格不会产生影响，利率波动率更多的是影响期权的行权。

对债券价格产生直接影响的是利率的改变，如利率上升or下降。利率波动率的上升or下降，不会影响债券的价格。

且选项A说的是，长期、短期利率波动率的相对改变，这个可以用来分析不同期限option/含权债券的期权价值影响。但对于本题的2个债券没有影响。

选项B：

Decreased likelihood of an economic slowdown.

经济发生Economic slowdown的概率在下降。那也就是更有可能是经济状况变好。

在经济状况变好时，HY的违约可能性下降，投资者更愿意买HY，所以会推高HY的价格，导致HY的价格相对上升，并非题目要求的相对reduce。

所以本题不选B。如果B改成Increase likelihood，那B就是正确的选项。

选项C：

Increased likelihood of a flight to quality associated with bullish benchmark yield curve flattening (long-term rates fall by more than short-term rates do).

Flight to quality的发生概率上升。Flight to quality就是投资者纷纷买入避险资产，包含IG债券，所以会推高IG的价格。

同时，投资者会卖出HY这类高风险资产，导致HY的价格下降。

于是会导致相对于IG，HY的价格会下降。本题选C。

C选项的最后一句，bullish benchmark yield curve flattening，这句在解本题都用不上。因为这句是说利率曲线是如何改变的，即国债的利率曲线下降（bullish），且长期利率下降更多导致flattening。这样的信息是用来判断不同期限债券的价格相对改变的，本题不涉及不同期限的债券判断，所以这句用不上。

mandy · 2024年10月31日

谢谢发亮老师～

发亮_品职助教 · 2024年11月01日

不用客气！

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