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KKII · 2024年05月15日

到底是评级更重要,还是周期更重要?

NO.PZ2023040601000080

问题如下:

Andrew Rutherford is a fixed-income analyst with Quantum Credit Advisers, an institutional investment management company. Rutherford participates in Quantum’s weekly fixed-income committee meetings.

Quantum’s committee believes that the Fed is likely to hold off raising the FFR for at least six months because of weak economic data, and that weakness will be seen in the upcoming payroll numbers. Quantum forecasts weaker-than-expected GDP growth in the future and expects that GDP growth will be more volatile as the economy ultimately adjusts to a changing interest rate policy.

Diana Coombs is a senior credit analyst at Quantum. Based on the GDP outlook from the committee, she evaluates three bonds from different sectors (shown in Exhibit 1) for a potential new short position in the company’s hedge fund. All three bonds mature in five years.


Based on Quantum’s economic forecast and the data in Exhibit 1, which bond is Coombs most likely to recommend as the short position for the hedge fund?

选项:

A.

Bond 3

B.

Bond 1

C.

Bond 2

解释:

C is correct. Bond 1 is in a non-cyclical industry, unlike Bond 2, which is in a cyclical industry. Bond 1 has a slightly higher debt-to-capital ratio than Bond 2 but not material. Bond 2 has a relatively tight spread compared with Bond 1. These factors suggest that Bond 2 is a better candidate for a short position. During an environment in which GDP is forecast to surprise to the downside, higher-rated issues, such as Bond 3, are likely to outperform. Given Quantum’s expectation for declining GDP and its relatively tight spread, Bond 2 is the best candidate for a short position.

B is incorrect.

A is incorrect. During an environment where GDP is forecast to surprise to the downside, higher rated issues such as Bond 3 are likely to outperform.

Bond 1非周期低评级


Bond 2 周期相对较高评级


从评级角度出发,要short评级更低的,选bond1


从周期出发,要short顺周期的,选bond


这里有个tradeoff,到底是评级更重要,还是周期更重要?

1 个答案

品职助教_七七 · 2024年05月16日

嗨,努力学习的PZer你好:


各个因素要综合起来看,不能单独的剥离出去看。

由于经济要下行,周期性的行业马上就会随着经济一起下跌,consumer discretionary马上就要不行了,评级也很可能下调。这个背景下,可预计bond 2的价格会下降。适合去short。

而bond 1由于是抗周期的行业,基本不会有什么改变。short bond 1没有意义。


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