问题如下：
Bond B3 will have a modified duration of 2.75 at the end of the year. Based on the representative one-year corporate transition matrix in Exhibit 7 of the reading and assuming no default, how should the analyst adjust the bond’s yield to maturity (YTM) to assess the expected return on the bond over the next year?
选项：
A.Add 7.7 bps to YTM.
B.Subtract 7.7 bps from YTM.
C.Subtract 9.0 bps from YTM.
解释：
B is correct. For each possible transition, the expected percentage price change, computed as the product of the modified duration and the change in the spread as per Exhibit 7 of the reading, is calculated as follows:
From AA to AAA: –2.75 × (0.60% – 0.90%) = +0.83%
From AA to A: –2.75 × (1.10% – 0.90%) = –0.55%
From AA to BBB: –2.75 × (1.50% – 0.90%) = –1.65%
From AA to BB: –2.75 × (3.40% – 0.90%) = –6.88%
From AA to B: –2.75 × (6.50% – 0.90%) = –15.40%
From AA to C: –2.75 × (9.50% – 0.90%) = –23.65%
The expected percentage change in the value of the AA rated bond is computed by multiplying each expected percentage price change for a possible credit transition by its respective transition probability given in Exhibit 7 of the reading, and summing the products:
(0.0150 × 0.83%) + (0.8800 × 0%) + (0.0950 × –0.55%) + (0.0075 × –1.65%) + (0.0015 × –6.88%) + (0.0005 × –15.40%) + (0.0003 × –23.65%)= –0.0774%.
Therefore, the expected return on the bond over the next year is its YTM minus 0.0774%, assuming no default.
“我们不是在期初购买好债券会有一个YTM，这个YTM是预期我们持有债券至到期每年的收益。持有下一年，假设没有任何变化的情况下，下一年的预期收益率也是YTM。……考虑到债券评级变化之后的影响，债券的价格会下降0.0774%，YTM - 0.0774%算的是持有下一年的预期收益。
若债券下跌0.0774%后，会有一个新的债券价格，会有一个新的YTM。此后，假设市场条件没有发生变化，债券并持有至到期，每年预期能的收益就是这个新的YTM。
这个新的YTM是债券价格变动之后的YTM，与上面算的经历价格变动实现的收益不同。”
老师，您好，我看了上述你们对其他同学提问的解答，有点似懂非懂。您能具体解释一下这新的YTM与评级变化带来的YTM-0.0774%之间的区别吗？也就是本题说的下一年的预期收益率到底是什么，怎么界定的？
评级改变前，YTM是下一年的预期收益率。评级变化后，YTM-0.0774%是预期收益率。价格下跌了0.0774%，会有一个新的YTM。既然评级变化前，YTM是下一年的预期收益率，那么评级变化后，新的YTM应该是预期收益率。
同为预期收益率，YTM-0.0774%与新的YTM应该相等，或者至少变化方向相同吧。为什么债券价格下跌，按YTM-0.0774%来判断，预期收益率变小，而按新的YTM来判断，预期收益率会变大？
