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坏呼呼嘿嘿 · 2023年04月07日

请问什么是strip?

NO.PZ2017121101000004

问题如下:

A US bond portfolio manager wants to hedge a long position in a 10- year Treasury bond against a potential rise in domestic interest rates. He would most likely:

选项:

A.

sell fixed- income (bond) futures.

B.

enter a receive- fixed 10- year interest rate swap.

C.

sell a strip of 90- day Eurodollar futures contracts.

解释:

A is correct.

The portfolio manager would most likely use a longer-dated fixed- income (bond) futures contract to hedge his interest rate risk exposure. The choice of the hedging instrument, in fact, will depend on the maturity of the bond being hedged. Interest rate futures, like 90-day Eurodollar futures, have a limited number of maturities and can be used to hedge short-term bonds. The mark-to- market value of a receive- fixed 10- year interest rate swap will become negative if interest rates rises, and thus the swap cannot be used as a hedge in this case.

中文解析:

A选项:预期利率上升,对应bond价格下跌,所以sell fixed- income (bond) futures,即在bond下跌(利率上升)时获利。

B选项:进入一个收10年期固定利率的互换,由于利率在上升,意味着我们收到的在变少,所以不能获利。

C选项: Eurodollar futures期限是90天,不适合用来对冲10年期债券。

如题

1 个答案

pzqa31 · 2023年04月09日

嗨,努力学习的PZer你好:


同学你好!strip是剥离债券, 是将本金和利息分拆,剥离成两个独立的部分,分别销售给投资者的债券。本题C选项中,strip是Eurodollar futures 的基础资产,做这道题的时候把strip看成普通债券就可以了,不影响选项。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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