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biguo · 2024年03月29日

iliquid bond

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidityrisk of a less frequently traded bond position in an active manager’sportfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding theswap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” riskpositions that would increase rather than offset the benchmark yield and credit spread riskto the portfolio manager related to the illiquidbond.

Iliquid bond要解决liquidity risk用CDS有用吗？CDS不是转移credit risk吗？ 用衍生品的话，是主要要把fixed CF转移出去就行吧

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1 个答案

pzqa31 · 2024年03月29日

嗨，努力学习的PZer你好：


对于信用债来讲，债券流动性和信用风险是高度相关的，所谓流动性差，其实就是这只债券在市场上认可度低，很难以市场价值快速成交，其中一个重要原因就是债券信用质量差，发行人存在较大信用风险，很多投资者不愿意买，导致此类债券在二级市场较难成交，造成成交量小，换手率低的情况。但是流动性风险和信用风险又是两个不同角度，不能混同，除了信用风险以外，流动性可能还和其他因素相关，比如发行方式，一般来讲，同等条件下的公募债券会比私募债券流动性更好，不过一般咱们在CFA里，主要还是考虑上述提到的和信用风险相关的原因。

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