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格蕾絲 · 2020年10月19日

问一道题:NO.PZ2019103001000078 [ CFA III ]

问题如下:

Megan Easton is a portfolio manager with Dynamo Investment Partners (Dynamo) and manages a bond portfolio that invests primarily in investment-grade corporate bonds with a limited amount of US government bonds. Easton meets with John Avelyn, a newly hired analyst, to discuss the structure and management of this investment portfolio, as well as some possible changes to the portfolio composition.

Easton begins the meeting by stating her belief that the credit spread is the single most important measure that investors use when selecting bonds. Among the various credit spread measures, including the G-spread, I-spread, and Z-spread, Easton prefers the G-spread.

A benefit of Easton’s preferred credit spread measure is that it:

选项:

A.

provides a good measure of credit spread for bonds with optionality.

B.

uses swap rates denominated in the same currency as the credit security

C.

reduces the potential for maturity mismatch.

解释:

C is correct.

The G-spread is the spread over an actual or interpolated benchmark (usually government) bond. A benefit of the G-spread is that when the maturity of the credit security differs from that of the benchmark bond, the yields of two government bonds can be weighted so that their weighted average maturity matches the credit security’s maturity.

B选项能不能翻译下?没看懂什么意思

1 个答案
已采纳答案

WallE_品职答疑助手 · 2020年10月19日

同学您好,

B选项强调的是以swap rate(互换/掉期)为主导的,所以与之相关的是I spread (Bond ytm - swap rate)。所以B选项就不是这个基金经理选择G spread的理由了。