NO.PZ2018120301000020
问题如下：
Afterproviding Trey with advice on direct investment, Serena offered him additionalinformation on alternative indirect investment strategies using (1) bond mutualfunds, (2) exchange-traded funds (ETFs), and (3) total return swaps.
Treyexpresses interest in using bond mutual funds rather than the other strategiesfor the following reasons.
1. Reason 1: Total return swaps have much highertransaction costs and initial cash outlay than bond mutual funds.
2. Reason 2: Unlike bond mutual funds, bond ETFscan trade at discounts to their underlying indexes, and those discounts canpersist.
3. Reason 3: Bond mutual funds can be tradedthroughout the day at the net asset value of the underlying bonds.
Whichof Trey’s reasons for choosing bond mutual funds as an investment vehicle iscorrect?
选项：
A.
Reason 1
B.
Reason 2
C.
Reason 3
解释：
Correct Answer: B
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.
我想请问一下，针对第一个原因，swap的成本不是会高一些吗？因为尽管是OTC产品，但是有margin要求？还有，ETF NAV和二级市场的价差会一直持续吗？可以总套利？另外，想问一下这个题的考点对应讲义哪里呢？我都不记得哪里说哪些是日间交易，哪些是什么时候交易了。谢谢
