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颖哲 · 2021年05月16日

请问increased curvature和flattered yield curve有什么关系吗

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NO.PZ201812020100000804

问题如下:

Silvia Abram and Walter Edgarton are analysts with Cefrino Investments, which sponsors the Cefrino Sovereign Bond Fund (the Fund). Abram and Edgarton recently attended an investment committee meeting where interest rate expectations for the next 12 months were discussed. The Fund’s mandate allows its duration to fluctuate ±0.30 per year from the benchmark duration. The Fund’s duration is currently equal to its benchmark. Although the Fund is presently invested entirely in annual coupon sovereign bonds, its investment policy also allows investments in mortgage-backed securities (MBS) and call options on government bond futures. The Fund’s current holdings of on-the-run bonds are presented in Exhibit 1.

Over the next 12 months, Abram expects a stable yield curve; however, Edgarton expects a steepening yield curve, with short term yields rising by 1.00% and long-term yields rising by more than 1.00%.

Based on her yield curve forecast, Abram recommends to her supervisor changes to the Fund’s holdings using the following three strategies:

Strategy 1: Sell the 3-year bonds and use the proceeds to buy 10-year bonds.

Strategy 2: Sell the 5-year bonds and use the proceeds to buy 30-year MBS with an effective duration of 4.75.

Strategy 3: Sell the 10-year bonds and buy call options on 10-year government bond futures.

Abram’s supervisor disagrees with Abram’s yield curve outlook. The supervisor develops two alternative portfolio scenarios based on her own yield curve outlook:

Scenario 1: Sell all bonds in the Fund except the 2-year and 30-year bonds and increase positions in these two bonds while keeping duration neutral to the benchmark.

Scenario 2: Construct a condor to benefit from less curvature in the 5-year to 10-year area of the yield curve. The condor will utilize the same 1-year, 5-year, 10-year, and 30-year bonds held in the Fund. The maximum allowable position in the 30-year bond in the condor is $17 million, and the bonds must have equal (absolute value) money duration.

Edgarton evaluates the Fund’s positions from Exhibit 1 along with two of his pro forma portfolios, which are summarized in Exhibit 2:

Lastly, Edgarton reviews a separate account for Cefrino’s US clients that invest in Australian government bonds. He expects a stable Australian yield curve over the next 12 months. He evaluates the return from buying and holding a 1-year Australian government bond versus buying the 2-year Australian government bond and selling it in one year.


The yield curve expectation that Abram’s supervisor targets with Scenario 1 is most likely a:

选项:

A.

flattening yield curve.

B.

reduction in yield curve curvature.

C.

100 bps parallel shift downward of the yield curve.

解释:

A is correct.

Scenario 1 is an extreme barbell and is typically used when the yield curve flattens. In this case, the 30-year bond has larger price gains because of its longer duration and higher convexity relative to other maturities. If the yield curve flattens through rising short-term interest rates, portfolio losses are limited by the lower price sensitivity to the change in yields at the short end of the curve while the benchmark’s middle securities will perform poorly

long 两年和30年的bond,short 其他的,类似于condor,那就应该是increased curvature,为什么是flattered yield curve呢,曲度增加为什么是变平呢
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发亮_品职助教 · 2021年05月17日

嗨,爱思考的PZer你好:


为什么是flattered yield curve呢,曲度增加为什么是变平呢

Flattening与More cuvature没有关系。

Flattening是指短期利率与长期利率之间的相对变化,没有中期利率的参与,即,短期利率相对上升,长期利率相对下降。

Curvature描述的是中期利率,相对于短期、长期利率之间的变化。More curvature就是中期利率相对上升,短期利率、长期利率相对下降。当Curvature出现时,描述的是,中期、短期、长期利率之间的相对变动。


long 两年和30年的bond,short 其他的,类似于condor,那就应该是increased curvature


本题不是Condor策略。Condor策略是Long/Short策略,同时有Long头寸与Short头寸,例如,Long 2-year/Short 5-year,Short 10-year/Long 30-year,这种同时有Long头寸与Short头寸的,才是Condor策略。

而本题的策略是Long-only策略,只有Long头寸。


本题原来的Portfolio是一个Match benchmark的Portfolio。从表1可以看出,这个Benchmark的权重集中在1/3/5/10/30年,所以,这个Portfolio原来是一个相对分散化的组合(Diversified maturity portfolio or laddered portfolio)。


此时,我们卖掉了其他所有的期限,只保留了2-year与30-year,同时将卖出其他债券的钱,继续加仓买入了2-year与30-year的债券;于是,这个策略是将原来期限分散化(Diversified maturity portfolio or laddered portfolio)的组合,改成了Barbell portfolio。


改动之后,只有Long 2-year与Long 30-year,注意,此时只有Long头寸,所以他不是Condor策略。

这是改动Portfolio的Structural,将原来的分散化的分布,改成了Barbell的分布。


那这样的话,他肯定是预期这样的改动是有利可图的,由于30-year债券的Duration非常大,对组合的影响更大一些,所以,他一定是预期30-year的债券能够带来更多收益,所以才增加了30-year债券的头寸。于是,在30-year的利率相对下降时,增加30年期债券的头寸可以给组合带来更多的收益。


于是这道题选A,预期是Flattening yield curve,即长期利率相对下降,这样的头寸改变才有效果。

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