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问一道题：NO.PZ2019103001000080

问题如下：

Avelyn comments on the following considerations in a bottom-up approach.

Comment 1 Callable debt has a smaller option-adjusted spread than comparable non-callable debt.

Comment 2 Benchmark corporate bond issues normally have wider spreads than older bonds of the same issuer.

Comment 3 The announcement of a new corporate bond issue often leads to an increase in the credit spread on the existing bonds.

Which of Avelyn’s comments regarding considerations in the bottom-up approach is most accurate?

选项：

Comment 1

Comment 2

Comment 3

解释：

C is correct.

When an issuer announces a new corporate bond issue, the issuer’s existing bonds often decline in value and their spreads widen. This dynamic is often explained by market participants as an effect of increased supply. A related reason is that because demand is not perfectly elastic, new issues are often given a price concession to entice borrowers to buy the new bonds. This price concession may result in all of an issuer’s existing bonds repricing based on the new issue’s relatively wider spread. A third reason is that more debt issuance may signal an increase in an issuer’s credit risk.

老师想问问说法1为啥不选呢

嗨，努力学习的PZer你好：

Comment 1比较的是Callable bond与Comparable Non-callable bond之间的OAS；

因为是Comparable（可比债券），所以两者的信用风险相等，所以两者的OAS是相等的。A选项错误。

OAS与Z-spread是相关的概念，所以具体理解如下：

Z-Spread可以理解成一个All-in spread，他反映的是债券的所有额外风险（除利率风险外的其他所有风险），也就是债券有啥风险，都装到Z-spread里。

对于Callable bond，投资者除了承担Credit risk之外，还有被提前赎回的风险，所以求出来的Z-spread会反映这两种风险：Callable bond的Credit risk和债券被提前赎回的风险；

对于Non-callable bond，投资者只承担Credit risk，求出来的Z-spread只有信用风险。

此时，用Z-spread来反映含权债券与不含权债券之间，信用风险的相对大小，是不公平的。因为，含权债券的Z-spread包含了其他非信用风险的部分（权利的影响）。

这时候就引入了OAS概念(Option-adjusted spread)：他是剔除掉Z-spread里权利影响后的Spread；只反映债券的信用风险。

这时候，比较信用风险大小时，比较含权债券与不含权债券的OAS是非常公平的，因为OAS只受信用风险的影响。

Comment 1，他说是Comparable non-callable bond，因为是Comparable（可比债券），所以Comment 1里面的含权债券与不含权债券的信用风险一致。

因为OAS是只反映债券信用风险的Spread，所以两个债券的OAS相等。

再额外引申一下，对于Callable bond，投资者还额外承担被提前赎回的风险，

所以 Callable bond Z-spread = OAS + Option风险补偿；

而Comparable non-callable bond z-spread = OAS；（因为没有权利的影响，不含权债券的Z-spread本身就只反映信用风险，所以他的Z-spread与OAS相等）

因为可比，信用风险OAS相等，而Callable bond还有额外的权利补偿，所以两者的Z-spread大小为：

Callable bond Z-spread > Comparable non-callable bond z-spread.

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问一道题：NO.PZ2019103001000080

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