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巴伦 · 2024年08月05日

请问A错在哪里，正确应该如何表述

  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.

请问A错在哪里，正确应该如何表述

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1 个答案

发亮_品职助教 · 2024年08月06日

High-yield credit spread curves change shape more over the cycle than investment-grade ones do

选项A上面这句，到这里还都没问题，是正确的表述。

和investment-grade债券相比，High-yield债券确实更容易受到周期的影响。因为high-yield bond的发行人，他们的信用质量之所以不好，就是其经营相对不稳定，更易被外界经济周期影响。


选项A的问题在下句，这里说high-yield bond发行人的credit curve在peak阶段是inverted:

and usually invert during the peak phase.


这个说法错误，在peak阶段，还是在经济繁荣阶段，high-yield bond的credit spread curve是正常的向上倾斜。因为短期的经济还比较好，所以短期违约可能性低，短期的credit spread相对低。长期因为时间更长，不确定性更多，所以长期的spread相对更大。整体看credit spread curve是向上倾斜的。

一般是在经济衰退时（contraction时），或者经济复苏的早期（initial recovery），High-yield bond会出现inverted credit spread curve。

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