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wukefu · 2024年07月08日

这个整个case基本都要错光。考试是这个难度吗。。。

  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.

请问这个题目对应的是哪一个考点？

这个整个case基本都要错光。考试是这个难度吗。。。


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pzqa31 · 2024年07月09日

嗨，爱思考的PZer你好：


1.这道题是在讨论bond market的Passive投资，然后题目说他想找到一个工具，即可以Hedge掉利率风险，又可以Hedge掉Credit exposure。


然后相关的标的物头寸是：corporate bond index


如果我们有Long corporate bond index头寸，那我们拥有头寸：Long credit risk + Long interest rate risk；


现在是想Hedge掉利率风险与Credit exposure。


如果使用Total return swap的话，我们就可以支付出去Corporate bond index的收益，收到一个浮动基准利率。这样的话，通过TRS，我们将Corporate bond index的头寸就转移出去了，即，转移出去了Credit risk与Interest rate risk，这样就等于Hedge掉了这两个风险。同时，换回来的是浮动的基准利率。


这样的话，就满足题干的要求：即可以Hedge掉利率风险，又可以Hedge掉Credit exposure。


TRS是OTC产品。TRS由于交换的是标的物资产的总收益，因此可以Hedge掉标的物资产的所有风险，本题的标的物资产是Corporate bond index，那交换出去Corporate bond index的收益，就相当于Hedge掉了对应的Credit risk与Interest rate risk。


另外需注意，TRS可以Hedge掉标的物资产的风险，但同时由于TRS是OTC产品，OTC合约可能存在合约对手方违约的风险，即Counterparty risk，这是这个合约可能额外存在的风险。


注意，这道题没有讨论TRS这份合约额外引入的对手方风险，这道题讨论的是使用衍生品来Hedge掉标的物资产的利率风险与信用风险。三个选项里只有TRS可以实现。


2.说一下A选项，creation units可以理解成就是一揽子债券。


就是ETF有两种交易机制：


（1）ETF份额可以像股票一样，在二级市场上进行交易，交易的双方就是广大散户投资者 or 机构投资者；


（2）ETF也可以在一级市场进行申购与赎回，参与者是特许的Dealer与ETF发行人。特许参与者（authorized participants）可以在债券市场按照ETF的配比买入标的物债券，拼凑出一揽子债券，然后用这一揽子债券申购一份ETF份额；或者，authorized participants可以用一份ETF份额，赎回出一揽子标的物债券。


这个Creation units就可以理解成ETF在一级市场申购赎回时，对应的一揽子标的物。


3.这道题对应讲义这里的知识点，这部分涉及到实务中的一些具体产品，理解起来确实有些困难，同学可以把这道题作为一个知识点了解一下哈。

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