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monicaaaaa · 2025年06月26日

答案

NO.PZ2023032703000094

问题如下:

In preparation for the meeting, Thorn meets with his team to discuss potential fixed income investment strategies. Alex Book, a junior fixed income portfolio manager, updates Thorn on the spread analysis he has used to identify potential trades. Book makes the following statements.

l Statement 1: An increase in interest rate volatility will cause nominal spreads on callable corporate bonds to widen.

l Statement 2: Using putable bonds will allow us to obtain full protection from any large deterioration in an issuer’s credit.

l Statement 3: Buying MBS will add convexity to the portfolio, which will result in a greater benefit from a large change in interest rates.

A. Determine whether each of Book’s three statements is most likely correct. Justify each response.

选项:

解释:

Correct Answer:

Statement 1 is correct. A callable bond is a bond with an embedded short call option. The value of a callable bond is equal to the value of an option-free bond less the value of the embedded option. The value of the embedded call option owned by the issuer will increase as volatility rises, reducing the value of the bond versus a similar option-free bond, thus causing nominal spreads to increase.

Statement 2 is incorrect. A putable bond is a bond with an embedded long put option. An investor buying a putable bond buys a bond with a long put option, giving him the right to redeem the bond before maturity. In the event of significant credit deterioration, the issuer’s ability to meet the put and redeem the bond would be in question.

Statement 3 is incorrect. An MBS is a bond with an embedded short call option. A short call option has negative convexity. Adding more MBS to a portfolio will decrease the convexity of the portfolio and thus result in a smaller (not greater) benefit from a large change in interest rates.

  1. statement 1 is correct. Buying callable bond can be seen as buying an option free bond and short option to the issuer. The callable bond is attractive when the market is stable while less attractive when the market is volatile. If the interest rate volatility increases, the price of callable bonds would decrease, which will lead to higher yield and widen spreads.
  2. statement 2 is incorrect. Using putabla bonds can allow us to obtain protection from increasing interest rates, which is not deterioration in an issuer's credit.
  3. statement 3 is incorrect. Buying MBS will decrease convexity to the portfolio as the price will be negatively affected by the changes of interest rates.

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1 个答案

发亮_品职助教 · 2025年06月27日

statement 1 is correct. Buying callable bond can be seen as buying an option free bond and short option to the issuer. The callable bond is attractive when the market is stable while less attractive when the market is volatile. If the interest rate volatility increases, the price of callable bonds would decrease, which will lead to higher yield and widen spreads.


可以,写到问题的考点上了。关键就是要说,callable bond里面是内嵌short call option,当利率波动率上升时call option上升,导致callable bond的value下降,对应的yield上升,导致spread wider。

Buying a callable bond can be seen as buying an option-free bond and shorting a call option to the issuer.

If the interest rate volatility increases, the call option value will increase, leading to a decrease in the callable bond value. Therefore, the nominal spread will be wider.


statement 2 is incorrect. Using putabla bonds can allow us to obtain protection from increasing interest rates, which is not deterioration in an issuer's credit.


这个回复可以。写到利率上升时,投资者可以sell bond to issuer,但是在发行人信用质量下滑时,行权可能会有问题。信用质量下滑导致发行人可能无法赎回要说一下:

Using putable bonds can allow us to obtain protection from increasing interest rates. But when there is a large deterioration in an issuer’s credit, the issuer’s ability to redeem the bond is in question.


statement 3 is incorrect. Buying MBS will decrease convexity to the portfolio as the price will be negatively affected by changes of interest rates.


写到buy MBS会降低convexity可以。要稍微提一下MBS里面内嵌的short call option on bond,所以会降低convexity。


理解的话是因为:MBS的底层资产池是mortage,所以真正的MBS发行人其实是贷款买房的人。当贷款买房的人提前偿还房贷时,这些现金流会提前偿还给MBS的投资者,投资者被迫终止投资。即,贷款买房的人提前偿还房贷,会引发提前赎回MBS。相当于贷款买房的人(发行人)是long call option on MBS。而投资者是short call option。

所以可以说:

An MBS is a bond with an embedded short call option. A short call has negative convexity. Adding MBS to the portfolio will decrease portfolio convexity. The portfolio will have less benefit from a large change in interest rates.

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