NO.PZ2023032703000012
问题如下：
Shield states that his return expectation for a portfolio of corporate bonds is 3%–6% per annum over a 10-year period. Edge questions whether that level of return is sufficient for Derran and offers the following suggestions with respect to increasing portfolio returns.
Suggestion 1 Overweight the portfolio with bonds of highly leveraged companies because their yields generally exceed those of companies that have lower debt levels.
Suggestion 2 Consider using inverse floaters and fixed-rate receiver swaps in order to position the portfolio to benefit from any decline in interest rates over the 10-year market cycle.
Suggestion 3 Enter into repurchase agreements and securities lending transactions with counterparties that are conservatively leveraged.
Which one of Edge’s suggestions least likely uses portfolio leverage to increase returns? (2019 mock AM)
选项：
A.Suggestion 3
Suggestion 2
Suggestion 1
解释：
Adding bonds of highly leveraged companies does not involve the use of leverage. The following methods of leverage may be used to increase portfolio returns relative to an unleveraged portfolio: (1) futures contracts, (2) swap agreements, (3) structured financial instruments, (4) repurchase agreements, and (5) securities lending. Each of these methods adds leverage to an unleveraged portfolio, including, as in this example, an unleveraged portfolio of bonds from highly leveraged companies.
B是付inverse floater，收固定利率；inverse floater的价格P=∑CFt/(1+R)^t，在市场利率下降时，inverse floater的分子coupon rate = 10% - 3× MRR，所以coupon 上升，分母下降，价格P上升。固定利率债券在interest rate下降而导致价格上升只是因为分母下降。因此在利率下降是，我们付出去价格上升更大的债券，收到价格上升较小的债券，怎么benefit from any decline in interest rates over the 10-year market cycle？