Silver considers alternatives to a cash bond portfolio for hedging the liabilities because he is concerned that as time passes and market conditions change, the initially established hedging program may drift from target levels. Some of his clients with DB plans are underfunded and have interest rate hedge ratios well below 100%. These clients expect rates to rise, and should their view prove correct, the duration gap will improve funded status. He believes these clients should at least consider a costless derivative position to protect from rates falling further if their view is incorrect while also increasing the hedge ratio if rates rise.
What contingent strategies would Shrewsbury’s DB clients most likely enter into under the scenario he outlines?
- Short a receiver swap
- Long a payer swaption, short a receiver swaption
- Long a receiver swaption, short a payer swaption
麻烦老师详细讲解下第三个策略为啥对，
谢谢！
