STatement 1说的是对Interest Rate的敏感程度啊

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

Which of West’s comments regarding risk considerations in corporate bonds is least likely correct?

选项：

A.Comment 1 B.Comment 3 C.Comment 2

解释：

Solution

B is correct. West is incorrect in Comment 3. Spread duration is a useful measure for determining a portfolio’s sensitivity to changes in credit spreads. Because credit spread volatility—as opposed to outright credit default loss—is more relevant for investment-grade bonds than for high-yield bonds, the risk in a portfolio of investment-grade bonds is typically measured in terms of spread duration.

A is incorrect because Comment 1 is correct. Investment-grade bonds are quoted as a spread to Treasuries and move lockstep in price with changes in interest rates. High-yield bonds are typically quoted in dollar prices or yields and may not move with rates as frequently.

C is incorrect because Comment 2 is correct. The 4 Cs of credit are used to assess creditworthiness and, as a result, can be applied to determine the probability that a borrower will default and the severity of the loss.