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皓月 · 2024年11月04日

虽然做对了

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap 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” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

B选项是啥意思，为什么是错的

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发亮_品职助教 · 2024年11月05日

这道题的背景是：手上有一个流动性差的债券less frequently traded bonds

现在想解决他流动性差的问题。

其实这道题的题干少了一些背景，应该是：手上持有的债券流动性差，且同时不想要该债券的头寸了。现在问如何处理。

我们学到的一个方法是：

手上持有这个债券，一时半会卖不出去，只能一点点卖，这个卖货周期比较长。但是现在组合内就不想要该债券的风险头寸了。

那么解决的方案是，先签订一个衍生品合约，做一个反向对冲头寸，将组合内的债券头寸给对冲掉。这样的话就立即没有债券头寸了。如债券头寸100m，签订的反向对冲衍生品合约的名义金额也是100m

然后，我们再一点点卖债券。例如，今天卖出了1m债券。在买债券的同时，也有相应调整衍生品的头寸，要使得衍生品与债券的头寸时刻是匹配一致的。

原衍生品是100m，现在债券只剩99million了，所以衍生品头寸也要调整到99。这就是边卖债券，边调整衍生品。

选项B说：

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

即，先卖出该债券的CDS保险，首先卖出CDS合约，是主动承担债券的风险，这获得的是long bond的头寸。

原来的头寸是long bond，现在这份sell CDS依然获得long bond，没有起到对冲的效果。所以选项B的头寸方向反了。

第二个问题是：他说unwinding the CDS contract when the bond is sold，即，当债券卖出时，清仓CDS头寸。

这个说法也错误，债券的头寸是一点点卖，所以CDS的头寸是一点点的跟着调整。

原版书的例题用swap做对冲头寸，swap的平仓描述是in proportion to the amount of the bond sold，即，卖出多少债券，就平仓多少swap：

unwinding the swap position over time in proportion
to the amount of the bond sold.

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