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piupiu · 2025年06月26日

可以解释一下正确选项B吗

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000027

问题如下：

Which of the following regarding the shape of the credit spread curve for high-yield issuers is most accurate?

选项：

A.

High-yield credit spread curves change shape more over the cycle than investment-grade ones do and usually invert during the peak phase.

B.

Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.

C.

High-yield credit spread curves often invert because of the empirical observation that DTS is the best way to measure high-yield bond price changes.

解释：

B is correct. Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers because their bonds tend to trade at a price close to the recovery rate.

A is incorrect because the high-yield spread curve tends to invert during a contraction, while C is incorrect because a high-yield curve inversion is related to the relationship between near-term and long-term default as opposed to DTS.

如题

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1 个答案

发亮_品职助教 · 2025年06月27日

Credit spread是债券在正常存续、不违约的情况下，对信用风险的补偿。因为投资者承担了信用风险，所以自然会给一块这个补偿。然后我们可以通过分析credit spread curve的形状来分析市场对于债券信用风险的估计。


注意credit spread仍然是基于债券正常存续、不违约状态下的补偿，还是基于债券正常现金流折现模型计算的信用补偿。


但对于濒临违约的债券，债券不再是正常的现金流模式了，这时候投资者对于债券的评估是基于违约后的回收来估值。即，违约后能回收多少残值，那么这些债券的交易价格就应该是多少。所以濒临违约的债券，其交易价格会趋向recovery（违约回收金额）。


相当于正常存续的债券，信用风险评估基于正常现金流下的credit spread curve分析，但是对于濒临违约的债券，估值体系改变，要基于违约后的损失评估。

在评估债券时，需要注意应用场景。对于濒临违约的债券就不能用credit spread curve分析。


所以选项B的说法完全没有问题。

Investors should exercise caution in interpreting credit spread curve shape for distressed debt issuers

这里说当对distressed debt这类濒临违约的债券分析时，如果使用credit spread curve来分析，就得注意（exercise caution）


因为此类债券更倾向于用价格交易（估值体系发生改变，价格倾向于违约回收。）此类债券不是基于credit spread体系来估值，因为债券的违约可能性上升。

because their bonds tend to trade on a price rather than credit spread basis as the likelihood of default increases.

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