L3 fix income problem price, income, problem

ssigh

contribution to spread durantoin:credit sector is 1.1,treasury  sector is 0

Forecast1:spreads to narrow in all other spread sectors

Forecast2:a positively sloped yield curve with short rates rising 25 basis points and long rates rising by about 75 basis points.

ans:lengthen duration in credit sector and shorten it in the treasury sector

虽然forecast1 说spread to narrow，所以asset price will go up

但Forecast2也说了rates rising啊，asset price不会下跌吗？

yz2006

Forecast1里说了“spreads to narrow in all other spread sectors”，所以credit 会outperform -- 这就需要我们lengthen spread duration

Forecast2里的主要提到的是随着利率提高而造成的interest rate risk, 所以要shorten duration来规避利率风险

ssigh

回复 2# yz2006


   hedges interest risk，不是应该short duration in credit sector吗？credit sector 的duration比treasury sector大啊。

Hang-Directions

Forecast 2 implied a non-parallel shift movement, rather a parallel change that can be hedged by duration adjustment.

joysonhku1

对的，narrow 表示credit的相比treasury， spread premium 降低，表示credit价格升高，
而第2仅是对treasury来讲，长期的价格会下降