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Shawnxz · 2023年07月15日

见问题

NO.PZ2021120102000002

问题如下:

An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index.

This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is the least attractive portfolio positioning strategy in a static curve environment?

选项:

A.

Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035

B.

Entering a pay-fixed, 30-year USD interest rate swap

C.

Purchasing a 20-year Treasury and financing it in the repo market

解释:

B is correct.

The 30-year pay-fixed swap is a “short” duration position and also results in negative carry (that is, the fixed rate paid would exceed MRR received) in an upward-sloping yield curve environment; therefore, it is the least attractive static curve strategy.

In the case of a.), the manager enters a “buy-and-hold” strategy by purchasing the 10-year zero-coupon bond and extends duration, which is equal to 9.80 = 10/1.02 since the Macaulay duration of a zero equals its maturity, and ModDur = MacDur/(1+r) versus 7.25 for the index.

Under c.), the manager introduces leverage by purchasing a long-term bond and financing it at a lower short-term repo rate.

这里pay-fixed,收益率曲线是upward slope,那么如果现在pay fixed,未来利率上涨,那不是pay-fixed是个好策略吗?

1 个答案

pzqa015 · 2023年07月16日

嗨,努力学习的PZer你好:


upward slope意思是向上倾斜,后面的expected to remain unchanged,意思是曲线未来不变,所以不是未来利率上涨。

B 选项pay fixed ,receive float 的swap,有负的duration,如果预期收益率曲线向上倾斜,且保持不变,应该增加duration,而不是降低duration。

所以,如果B选项改成pay float,receive fixed swap,那么B选项就没问题了。

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