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李建强 · 2024年03月12日

请教关于cash flow matching的一个知识点

NO.PZ2018120301000005

问题如下:

Margit asks Cécile to analyze liability-based mandates for a meeting with Villash Foundation. Villash Foundation is a tax-exempt client. Prior to the meeting, Cécile identifies what she considers to be two key features of a liability-based mandate.

  • Feature 1: It can minimize the risk of deficient cash inflows for a company.
  • Feature 2: It matches expected liability payments with future projected cash inflows.
Is Cécile correct with respect to key features of liability-based mandates?

选项:

A.

Yes

B.

No, only Feature 1 is correct

C.

No, only Feature 2 is correct

解释:

A is correct. Liability-based mandates are investments that take an investor’s future obligations into consideration. Liability-based mandates are managed to match expected liability payments with future projected cash inflows. These types of mandates are structured in a way to ensure that a liability or a stream of liabilities can be covered and that any risk of shortfalls or deficient cash inflows for a company is minimized.

老师,请问为什么cash flow matching的前提是bond要持有至到期,才会没有price risk。根据何老师上课所讲,衡量price risk的应该是麦考利久期,而不是持有至到期,而且price risk反映的是利率变动对价格的影响,跟到期日有什么联系?

2 个答案
已采纳答案

pzqa31 · 2024年03月13日

嗨,努力学习的PZer你好:


这两者没什么关系,持有至到期可以看成是一种交易策略,我们买一只债券的目的可以是持有至到期,这种一般就为了赚票息,还有的是以交易为目的的,这种主要就是基于对市场判断赚价差。之所以说持有至到期没有Price risk,是因为持有至到期可以获得确定的Par,所以不管市场利率怎么波动,都不会有price risk。


并不是Macaulay duration衡量Price risk,而是Macaulay duration与Price risk、Coupon reinvestment risk有很大的联系。债券的投资收益,由两个方面的收益决定:

1. Coupon及Coupon再投资收益(Coupon reinvestment risk)

2. 债券卖出时的价格(Price risk)


Macaulay duration衡量的是债券现金流的平均回流时间,所以我们以他为分界,可以得到以下结论:

当债券的投资期小于Macaulay duration时,也就是小于平均时间,说明投资债券处于债券生命期的早期,绝大多数现金流还没有收到,此时对债券投资收益起决定性影响的是Price risk,因为债券的剩余期限还很长、Duration较大,利率变动对债券卖出的价格影响很大,进而影响Capital gain or loss;反而因为处在债券生命期的早期,Coupon及其再投资收益对债券投资收益的影响很小。


当债券的投资期大于Macaulay duration时,大于平均时间,也说明投资债券处于债券生命期的后期,投资债券收到了大多数现金流,此时对债券投资收益起决定性影响的是Coupon reinvestment risk,因为投资期较长、收到的现金流也较多,再投资收益比重大;反而Price risk的影响小,因为在债券生命期的后期,债券的价格向面值收敛的趋势更明显,即便前期利率发生过变化对债券的价格产生了影响、或者利率即将发生变化,对债券卖出价格产生影响,但因为债券临近到期(Duration也更小)、向Par收敛趋势明显,这个价格的影响(Price risk)的影响会变小。


所以发现,Macaulay duration实际上算是一个分界线,投资期处在相对Macaulay duration的不同位置时,投资债券面临的主导风险不同,要么是Price risk主导、要么是Reinvestment risk主导。是从这点上,将Macaulay duration和Price risk联系上了。

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pzqa31 · 2024年03月12日

嗨,从没放弃的小努力你好:


cash flow matching这种策略的设计就是要通过资产端的coupon+par去精准匹配每笔负债的现金流,不仅时间匹配,金额也要完全匹配,所以其实操作起来还是比较复杂的,如果要提前卖出债券,那么受市场波动影响,无法保证卖出的价格是否可以完美匹配负债现金流,所以就需要用本金这个确定的金额来匹配。

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常晓磊 · 2024年05月28日

这个不应该是cash flow matching的特点么

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