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xiaobaiybz · 2023年11月02日

麻烦请老师解释一下 coupon bear bonds 的概念，谢谢！

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000032

问题如下：

Doug,the newly hired chief ­financial officer for the City of Radford, asks thedeputy ­financial manager, Hui, to prepare an analysis of the currentinvestment portfolio and the city’s current and future obligations. The cityhas multiple liabilities of different amounts and maturities relating to thepension fund, infrastructure repairs, and various other obligations.

Huiobserves that the current ­fixed-income portfolio is structured to match theduration of each liability. Previously, this structure caused the city toaccess a line of credit for temporary mismatches resulting from changes in theterm structure of interest rates.

Dougasks Hui for different strategies to manage the interest rate risk of thecity’s ­fixed-income investment portfolio against one-time shifts in the yieldcurve. Hui considers two different strategies:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
Anupward shift in the yield curve on Strategy 2 will most likely result in the:

选项：

A.

price effect cancelling the coupon reinvestment effect.

B.

price effect being greater than the coupon reinvestment effect.

C.

Coupon reinvestment effect being greater than the price effect.

解释：

Correct Answer: A

A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.

麻烦请老师解释一下 coupon bear bonds 的概念，谢谢！

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1 个答案

pzqa015 · 2023年11月03日

嗨，爱思考的PZer你好：


就是有coupon 的债，对应的是零息债（zero coupon bond）

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