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Spencer · 2022年07月30日

进入received fixed ,pay floating swap，增加了portfolio duration，相当于是借钱买入了一只债券

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

老师请问，为何说”进入received fixed ,pay floating swap，增加了portfolio duration，相当于是借钱买入了一只债券“？

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已采纳答案

pzqa015 · 2022年07月31日

嗨，努力学习的PZer你好：


fixed bond的duration＞0，float bond的duration=0（近似处理），所以，received fixed,pay float swap相当于long fixed,short float ，所以增加duration。

同时，pay float相当于以浮动利率借钱，receive fixed相当于投资固定收益债券，所以说是借钱买了一只债券。

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toffee · 2023年05月22日

这个结论跟这个题有啥关系？

pzqa015 · 2023年05月23日

嗨，从没放弃的小努力你好：


没关系

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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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