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轩羊羊 · 2023年07月11日

这句话如何翻译?

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NO.PZ202209060200004706

问题如下:

Shrewsbury would most likely choose which instrument to achieve his alternate investment objective?

选项:

A.Creation units B.Interest rate swap C.Total return swap

解释:

Solution

C is correct. A total return swap (TRS) is an over-the-counter portfolio derivative strategy that combines elements of interest rate swaps and credit derivatives. There is an exchange of cash flows between the two parties over the tenure of the contract, based on a reference obligation that is an underlying equity, commodity, or bond index. In this case, the reference obligation would be a corporate bond index. Creation units are large blocks of exchange-traded fund (ETF) shares traded against a basket of underlying securities; this transaction typically occurs between the ETF distributor and a broker/dealer. Entering into a creation unit transaction is done to facilitate trading but does not establish a passive bond position. The DB plan could use also use the actual ETF as an alternate passive instrument.

A is incorrect because creation units are large blocks of ETF shares traded against a basket of underlying securities.

B is incorrect because the DB plan needs to establish passive interest rate and credit exposure.

hedges not only the interest rate component of the liability’s discount rate but also the credit component

怎么理解这句话呢?

total return swap是怎么做到的呢?

1 个答案

pzqa015 · 2023年07月11日

嗨,努力学习的PZer你好:


不但hedge住市场风险,还hedge住信用风险,total return swap通过将债券投资的全部收益与其他金融产品(股票、大宗商品)等的收益进行互换,实现了债券风险的转换。

interest rate swap仅仅可以hedge interest rate component of the liability’s discount rate.

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