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常晓磊 · 2023年12月03日

swap是otc，为什么没有credit risk

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

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.

swap是otc，为什么没有credit risk

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1 个答案

pzqa015 · 2023年12月04日

嗨，努力学习的PZer你好：


S的要求是不但要hedge 利率风险，还要hedge credit 风险。

只有total return swap可以同时hedge住着两个风险，可以通过swap把信用债的收益全部交换出去，达到hedge的目的。

这里问的不是交易对手违约的风险，这个credit risk是隐含在折现率中的，其实就是我们说的credit spread，题中这句话：not only the interest rate component of the liability’s discount rate but also the credit component就表明了这一点。

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