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坚持努力 · 2025年01月03日

这题 intreast rate 改变除了影响benchmark那边是不是还会影响roll yield?

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000011

问题如下：

A junior analyst considers a 10-year high-yield bond issued by EKN Corporation (EKN) position in a high-yield portfolio. The bond has a price of 91.82, a modified duration of 8.47, and a spread duration of 8.47.

The analyst speculates on the effects of an interest rate increase of 20 bps and, because of a change in its credit risk, an increase in the EKN bond’s credit spread of 20 bps.

The analyst comments that because the modified duration and the credit spread duration of the EKN bond are equal, the bond’s price will not change (all else being equal) in response to the interest rate and credit spread changes.

Is the analyst’s prediction correct that the EKN bond price will not change in response to the interest rate and credit spread changes, all else being equal?

选项：

A.

Yes.

B.

No, the bond price should decrease.

C.

No, the bond price should increase.

解释：

B is correct. An increase in interest rates results in a decrease in the bond price. An increase in the credit spread also results in a decrease in the bond price.

For the EKN bond, its modified duration shows the effect of the 20 bp increase in interest rates. The approximate percentage price change resulting from the increase in interest rates is –8.47 × 0.0020 = –1.694%.

The spread duration shows the effect of the 20 bp increase in the credit spread. The approximate percentage price change resulting from the increase in the credit spread is –8.47 × 0.0020 = –1.694%. The combined effect is a total change of –3.388%, or a price decrease of roughly 3.4%

这题 intreast rate 改变除了影响benchmark那边是不是还会影响roll yield? 从而也会让价格下跌？



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1 个答案

发亮_品职助教 · 2025年01月04日

这题 intreast rate 改变除了影响benchmark那边是不是还会影响roll yield? 从而也会让价格下跌？


不考虑roll yield。因为roll down return强调的是，整个投资期间利率曲线stable稳定不变，期初投资债券时，债券还是一个长期债券，对应的折现率是长期债券的YTM。期末债券的期限变短，折现率调整成短期折现率。因为长期、短期折现率有差异，所以有一个价差收益。

一般而言，利率曲线是upward-sloping，长期YTM大于短期YTM，所以期初的折现率更大，期末的折现了更小，由于期末的折现率小，导致期末价格上升。于是有price appreciation。这是属于roll down return。

这个roll down return的产生，就只能是债券的期限变短，而且有个硬前提条件，就是利率曲线stable不变。


而像这道题的题干里面，并没有说利率曲线stable，也没有刻意提到roll down return，所以这道题没有roll down return的考虑。


这道题是直接的利率上升，利率都改变了，不属于利率曲线stable。所以价差收益直接来自于利率上升的价差。

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