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换名如换刀 · 2025年05月12日

可否详细解释一下选项A spread changes

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202209060200004505

问题如下：

Stone’s comments to West regarding liquidity risk in credit markets is most likely correct with regard to:

选项：

A.spread changes. B.liquidity management. C.bid–ask spreads.

解释：

Solution

A is correct. Liquidity management has become more relevant in generating alpha for portfolios since the financial crisis. Stone’s second point regarding spread changes relates to outflows, and its implications for portfolio management are correct. His third point is correct with regard to bid–ask spreads varying over time and being a good indicator of liquidity but is incorrect about bid–ask spreads benefiting portfolio managers, because trading costs are higher. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.

B is incorrect because his first point is incorrect. Liquidity management has become more relevant to portfolio managers as a means of adding alpha to portfolios.

C is incorrect because his third point is incorrect. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.

相对于investment grade bond来说，High yield bond不是对 Credit Spread以及Benchmark rate的变化更加不敏感吗？为什么这段关于spread changes的描述还是正确的呢？

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1 个答案

发亮_品职助教 · 2025年05月13日

相对于investment grade bond来说，High yield bond不是对 Credit Spread以及Benchmark rate的变化更加不敏感吗？


是的，这个结论没什么问题。

原因是benchmark rate的改变，会被credit spread的反向改变给抵消掉，而且HY bond的抵消效果更佳明显，所以导致实际的利率改变没那么大，导致HY bond的价格波动比较小。


还有个延伸出来的结论，就是HY bond的抵消效果明显，实际价格波动不大，所以用实际价格衡量的duration——empirical duration比IG的Empirical duration更小。


还有个相关结论，同一个债券，用实际价格改变算出来的empirical duration比理论duration（effective duration/analytical duration）要小。


需要注意，这块讨论的是利率/Spread改变对价格的影响


为什么这段关于spread changes的描述还是正确的呢？


Second, spread changes are more pronounced during times of outflows in high-yield markets relative to investment-grade markets, particularly during times of stress. 


需要注意，上面这段讨论的是价格改变对利率的影响，是价格影响spread的角度

最前面benchmark rate与credit spread抵消对债券价格的影响，是利率影响价格的角度

两个属于不同的分析方向，而且benchmark rate与credit spread相互抵消属于一个单独的知识点哈。


这段话的理解是这样，在市场危机时，因为市场会大幅抛售HY bond，所以这类债券的价格会大幅下降，对应的就是spread会大幅上升。对应他所说的spread changes more pronouced。

而相对来说，IG bond没有太多抛售，所以spread不会出现这样的大幅上升。

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