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小叶子11 · 2021年09月20日

DB plan, 应对利率变化的策略

Silver considers alternatives to a cash bond portfolio for hedging the liabilities because he is concerned that as time passes and market conditions change, the initially established hedging program may drift from target levels. Some of his clients with DB plans are underfunded and have interest rate hedge ratios well below 100%. These clients expect rates to rise, and should their view prove correct, the duration gap will improve funded status. He believes these clients should at least consider a costless derivative position to protect from rates falling further if their view is incorrect while also increasing the hedge ratio if rates rise.

Q. What contingent strategies would Shrewsbury’s DB clients most likely enter into under the scenario he outlines?

  1. Short a receiver swap
  2. Long a payer swaption, short a receiver swaption
  3. Long a receiver swaption, short a payer swaption

答案C

您好,这一段落我没读明白,客户预计利率上升,假设他们的预期是对的,duration gap会提升funded status ,为什么。后面一句也没读明白,麻烦老师能翻译一下吗,谢谢!

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已采纳答案

pzqa015 · 2021年09月22日

嗨,从没放弃的小努力你好:


现在客户是underfunded(资产市值-负债市值<0),同时是underhedge状态(BPVA<BPVL),所以,如果收益率曲线会上涨(资产与负债市值都下降,负债市值下降的多,使得资产市值与负债市值的差缩小),所以,funded status会改善。

后面一句的意思是考虑用一个尽量节省成本的derivative来管理duration gap,也就是derivative overlay策略。

这道题解题思路如下:

现在客户DB plan的状态是underfunded且hedge ratio<100%,如果客户对收益率曲线预期正确(收益率上行),那么资产价值下跌少,负债价值下跌多,funded status会改善;如果收益率曲线预期错误(收益率下行),那么资产价值上涨少,负债价值上涨多,funded status会进一步恶化。所以,要用swaption来管理duration gap,swaption本质是一个option,对于long position来说,如果未来预期对自己有利,则行权获利,否则不行权,损失是premium,对于short position来说,如果未来对long position有利,则short position要被动行权,有损失,如果未来对long position不利,则short position不用行权,赚取premium,也就是说,long option一方理论上损失有限,收益无限;short option一方理论上损失无限,收益有限。有了这个背景,来看swaption。

Swaption分为receiver swaption与payer swaption:

receiver swaption是约定未来进入receive fixed,pay float的swap的option,如果未来利率下跌,long的一方会行权获利,short一方有亏损,如果未来利率上涨,则long一方不会行权,损失期权费,short一方赚取期权费;payer swaption是约定未来进入pay fixed,receive float的swap的option,如果未来利率上涨,long 一方会行权获利,short一方有亏损,如果未来利率下跌,则long一方不会行权,损失期权费,short一方赚取期权费。

 

S同学建议客户用衍生品保护利率下跌风险,既然是想为某种风险提供保护,则肯定是long头寸(获得主动权),根据上面的分析,应该long receiver swaption。同时,要costless(省钱),所以,可以short 一个 swaption,用赚到的期权费来抵消long receiver swaption的期权费,利率下降时,short payer swaption不会被动行权,所以,应该用long receiver swaption+short payer swaption。Short a receiver swap在利率下跌时要被动行权,起不到保护作用,排除。

Long a payer swaption在利率上涨时获利,现在的portfolio本身就是在利率上涨时更好,所以没有必要额外花期权费买一份payer swaption,排除。


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