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?
- Short a receiver swap
- Long a payer swaption, short a receiver swaption
- 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!