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Carina9999 · 2022年04月22日

为什么选C，不选B?

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000031

问题如下：

Doug, the newly hired chief ­financial officer for the City of Radford, asks the deputy ­financial manager, Hui, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Hui observes that the current ­fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.

Doug asks Hui for different strategies to manage the interest rate risk of the city’s ­fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
Which duration measure should be matched when implementing Strategy 2?

选项：

A.

Key rate

B.

Modi­fied

C.

Macaulay

解释：

Correct Answer: C

C is correct. An investor having an investment horizon equal to the bond’s Macaulay duration is effectively protected, or immunized, from the first change in interest rates, because price and coupon reinvestment effects offset for either higher or lower rates.

老师，为什么不选B

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pzqa015 · 2022年04月23日

嗨，从没放弃的小努力你好：


single liability用mac duration match，multiple liability用modified duration match。原理如下：

Single liability免疫：

负债端只有一笔现金流，不受收益率曲线变化的影响。那么我们构建的Portfolio也要尽量不受收益率曲线变化的影响，这是immunization这个词的含义，也是构建Portfolio的基本原则。

首先，回顾一下，持有一只债券的收益率是如何计算。

根据P0(1+r)=P1+coupon①这个公式，P0是期初买入债券的价格，P1是现在债券市场价格或者未来可以卖出的价格，r就是持有债券一段时间的投资收益率。如果投资期是一期，没有coupon再投资问题；如果投资期是多期，要考虑coupon的reinvestment问题，比如，投资3期，每期coupon为3，假定期间现金流以ytm再投资，那么根据PV=0，PMT=3，N=3，I/Y=ytm，求解出FV就是上面公式的coupon了，它包含的是coupon和coupon的在投资收益。（这是一级固收的知识点）。

其次，我们分析一下公式①，影响债券投资收益r的因素有两方面：

一是P1，它是债券的卖出价格，收益率曲线一旦变化，债券卖出价格不再确定，这是price risk，用duration衡量，duration越大，price risk越大；

二是coupon，它是持有债券期间的coupon以及coupon再投资收益，一旦收益率曲线变化，coupon确定，但coupon的再投资收益就不确定了（也就是不能假设以ytm再投资了），这是reinvestment risk，用investment horizon衡量，投资期越长，reinvestment risk越大。

收益率发生变动，price risk和reinvestment risk对投资者的影响是相反的，比如考虑收益率曲线上升的情形：

若投资期长，price risk对投资者不利，但reinvestment risk对投资者有利；若投资期短，price risk对投资者有利，但reinvestment risk对投资者不利。所以，一定存在一个条件，这个条件使得price risk与reinvestment risk相互抵消，收益率曲线变动对portfolio value的影响就被控制了，portfolio可以获得确定的return，这样就实现了免疫的初衷。

这个条件就是mac D=investment horizon。由于要与投资期比，只有mac D代表现金流的加权平均到期期限，是一个时间的概念，所以，要用mac D与investment horzion比较。

有下面结论：

Mac D＞investment horizon，则price risk＞reinvestment risk

Mac D=investment horizon，则price risk=reinvestment risk

Mac D＜investment horizon，则price risk＜reinvestment risk

所以，单笔现金流负债免疫，我们要让mac D=investment horizon。


Multiple liability 免疫：

与单笔现金流负债不受收益率曲线变动影响不同，多笔现金流负债受收益率曲线变动影响，所以，我们构建portfolio的目的也不是获得确定收益了，而是要让收益率曲线变动时，资产与负债的价格变动尽量相等，也就是BPVA=BPVL。BPV=-MD*1bp*P，所以用到的是modified duration，而不再是mac duration了。


总之，虽然single liability与multiple liabiliies都叫免疫，但两类免疫的目标是不一样的，前者的目标是追求realized return，后者的目标是追求资产与负债的value变化相同，因此，前者要用mac duration，后者要用modified duration。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Carina9999 · 2022年04月23日

好的，谢谢老师，解答非常详细。我的理解是这样，如果是single liab,可以选择投资一期的就到期的，期间没有coupon的，也就是零息债券去cover liability，但市面上零息债券其实是比较unavailable的，所以很多情况是多期投资，每期都有coupon，那coupon就有RI risk，衡量RI risk是和投资期限相关的，也就是和时间相关，所以用Mac duration。这样理解对的吧？

pzqa015 · 2022年04月23日

嗨，从没放弃的小努力你好：


对的

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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