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西红柿面 · 2025年05月21日

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NO.PZ202209060200004505

问题如下:

Ashley West is the Managing Director of Credit Strategies at Mt. Pleasant Advisers (MPA). She oversees a group of strategists, analysts, and traders who contribute to managing more than $50 billion in fixed-income securities. She has gathered her group for their weekly investment strategy meeting, where they are currently focused on higher expected volatility in the markets. West makes the following comments:

West begins a discussion with her trader, Daniel Island, regarding return compensation for investing in corporate bonds. Island tells West, “When I am evaluating the price of a corporate bond, the screen on my Bloomberg terminal shows several spread measures. Some measures are better than others. Dealers often will quote me a spread to Treasuries whose maturity does not match the bond’s maturity.”

Charles Stone joins the conversation. He is MPA’s credit strategist and coordinates the recommendations of the analysts to portfolio managers. The analysts have provided him with data for three corporate bonds in the media sector that include the credit rating, spread duration, z-spread, and expected loss severity. He asks the analysts to provide data for three additional measures that he feels are required for the portfolio managers to select the most attractive bond using relative value analysis. The measures include expected probability of default, rating agency credit outlook, and historical sector default rates.

West likes to balance the bottom-up approach for portfolio construction with a top-down approach. She provides portfolio managers with a macro factors report containing two sections that they use as part of their investment process. Section 1 shows macro factors that she considers relevant for credit investing and includes corporate profitability, economic growth, currency movements, changes in expected market volatility, key rate durations, and default rates. Section 2 contains risk measurements that are used for credit portfolio management and includes average credit rating, average spread duration, duration times spread, average OAS, duration, and effective convexity.

West is concerned about liquidity risk in the credit markets. She believes that since the Great Recession, liquidity has declined, and she asks Stone for his opinion on the topic. Stone replies, “First, trading volume has declined across credit markets, even for higher-quality sectors. As a result, liquidity management has become less relevant to portfolio managers as a means of adding alpha to portfolios. Second, spread changes are more pronounced during times of outflows in high-yield markets relative to investment-grade markets, particularly during times of stress. Therefore, macro forecasting of the economic and credit cycle would aid in positioning the portfolio to compensate for liquidity risk. Third, bid–ask spreads can vary over time and are a good indicator of liquidity. Wider bid–ask spreads in a market downturn create opportunities for portfolio managers to add value to portfolios.”

Stone fields a call from Edisto Palma, an MPA portfolio manager in the Madrid office. Palma is frustrated with the negative interest rate environment present in the European Union (EU) debt markets resulting from the European Central Bank’s quantitative easing programs. He tells Stone he is considering buying securities outside of the EU market to pick up additional yield. Stone informs Palma that he is sympathetic with the situation but that there are implications to buying securities outside his EU benchmark, whether they are from developed or emerging markets. Stone outlines three suggestions for Palma. First, he should evaluate whether the spread advantage is negated by the cost of a currency hedge. Second, he should avoid local currency investments in countries where the exchange rate is pegged. Third, he should ensure that the timing of the credit cycles across markets coincides.

Question


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.

liquidity risk越小,则liquidity spread越小,反之越大。

liquidity risk越大,也会导致bid-ask spread变大。

市场不好的时候,流动性风险加剧,此时bid-ask spread变大,为什么不能理解成可以获取更高的Illiquidity Premium?

1 个答案

发亮_品职助教 · 2025年05月22日

bid-ask spread不是投资者可以获得的价差,这是dealer的买卖价差。dealer是低买高卖赚到一定补偿,这个是投资者为了获得交易便利性的成本哈!即,dealer提供了交易的便利,投资者享受了这样的便利,所以投资者要付出bid-ask spread的成本。


如,bid-ask价格是97-98,dealer花97从市场收购债券,对外卖98。中间价97.5

如果投资者自己去市场买,只需花费97.5买入债券,但是dealer提供了做市,投资者从dealer处获得了便利,投资者要花费98元买入,多付出的0.5是投资者的成本哈。


同理,如果投资者自己去卖债券,可以卖97.5,但是卖给dealer只能卖97,少卖的0.5也可以看成是为了促成交易,投资者付出的成本。

以上bid-ask spread=1,是投资者完成完整一轮买卖交易付出的“交易成本”,这是dealer赚到的,不能算作债券的liquidity premium。


如果没有dealer,投资者自己交易的话,以上bid-ask spread=1应该属于投资者的收益,但因为dealer帮助了交易,所以投资者折让了1的收益。本质上bid-ask spread属于投资者的交易成本,流动性越差、bid-ask spread越大,投资者的交易成本越大哈!


真正的liquidity premium是因为债券的流动性差,投资者可以赚到的补偿。体现在期初的买入价格更低:同样是2个一模一样的债券,A债券因为流动性差,所以卖的更便宜,投资者的投资成本更低,则获得的收益率更高。和另外一个债券相比,A债券更高的收益率本质是承担流动性差的补偿。

也可以体现在分母折现率上,由于A债券流动性差,折现率多一个liquidity premium,导致折现率更大,则期初value更低,投资成本更低。

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