NO.PZ201812020100000308
问题如下：
Serena is a risk management specialist with Liability Protection Advisors. Trey, CFO of Kiest Manufacturing, enlists Serena’s help with three projects.
The
first project is to defease some of Kiest’s existing fixed-rate bonds that are
maturing in each of the next three years. The bonds have no call or put
provisions and pay interest annually. Exhibit 1 presents the payment
schedule for the bonds.
Serena
explains to Trey that the underlying duration-matching strategy is based on the
following three assumptions.
1.
Yield curve shifts in the future will be
parallel.
2.
Bond types and quality will closely match
those of the liabilities.
3.
The portfolio will be rebalanced by buying or
selling bonds rather than using derivatives.
The
third project for Serena is to make a significant direct investment in broadly
diversified global bonds for Kiest’s pension plan. Kiest has a young workforce,
and thus, the plan has a long-term investment horizon. Trey needs Serena’s help
to select a benchmark index that is appropriate for Kiest’s young workforce.
Serena discusses three benchmark candidates, presented in Exhibit 3
With
the benchmark selected, Trey provides guidelines to Serena directing her to (1)
use the most cost-effective method to track the benchmark and (2) provide low
tracking error.
After
providing Trey with advice on direct investment, Serena offered him additional
information on alternative indirect investment strategies using (1) bond mutual
funds, (2) exchange-traded funds (ETFs), and (3) total return swaps.
Trey
expresses interest in using bond mutual funds rather than the other strategies
for the following reasons.
1.
Reason 1: Total return swaps have much higher
transaction costs and initial cash outlay than bond mutual funds.
2.
Reason 2: Unlike bond mutual funds, bond ETFs
can trade at discounts to their underlying indexes, and those discounts can
persist.
3.
Reason 3: Bond mutual funds can be traded
throughout the day at the net asset value of the underlying bonds.
Which
of Trey’s reasons for choosing bond mutual funds as an investment vehicle is
correct?
选项：
A.Reason 1
B.Reason 2
C.Reason 3
解释：
B
is correct. Although a significant spread between the market price of the
underlying fixed-income securities portfolio and an ETF’s NAV should drive an
authorized participant to engage in arbitrage, many fixed-income securities are
either thinly traded or not traded at all. This situation might allow such a
divergence to persist.
请老师解答：
- open-ended Mutual fund;
- close-ended Mutual fund;
- ETF
--到底谁的的liquidity 更好？
-- 1和2到底能不能intraday交易？
谢谢！
