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金融民工阿聪 · 2023年01月20日

关于coupon-bearing bond

NO.PZ2018120301000032

问题如下:

Doug, the newly hired chief ­financial officer for the City of Radford, asks the deputy ­financial manager, Hui, to prepare an analysis of the current investment portfolio and the city’s current and future obligations. The city has multiple liabilities of different amounts and maturities relating to the pension fund, infrastructure repairs, and various other obligations.

Hui observes that the current ­fixed-income portfolio is structured to match the duration of each liability. Previously, this structure caused the city to access a line of credit for temporary mismatches resulting from changes in the term structure of interest rates.

Doug asks Hui for different strategies to manage the interest rate risk of the city’s ­fixed-income investment portfolio against one-time shifts in the yield curve. Hui considers two different strategies:

  • Strategy 1: Immunization of the single liabilities using zero-coupon bonds held to maturity.
  • Strategy 2: Immunization of the single liabilities using coupon-bearing bonds while continuously matching duration.
An upward shift in the yield curve on Strategy 2 will most likely result in the:

选项:

A.

price effect cancelling the coupon reinvestment effect.

B.

price effect being greater than the coupon reinvestment effect.

C.

Coupon reinvestment effect being greater than the price effect.

解释:

Correct Answer: A

A is correct. An upward shift in the yield curve reduces the bond’s value but increases the reinvestment rate, with these two effects offsetting one another. The price effect and the coupon reinvestment effect cancel each other out in the case of an upward shift in the yield curve for an immunized liability.

coupon-bearing bond其实并不一定这个coupon的reinvestment risk就能抵消price risk吧(因为conpon和price的变动不一定能刚好抵消)?所以我们在3级中是假设,只要提到coupon-bearing bond,就粗略地假设默认它是处于immunization的状态吗?

1 个答案
已采纳答案

pzqa015 · 2023年01月22日

嗨,从没放弃的小努力你好:


不是的

strategy2说 coupon-bearing bonds while continuously matching duration,意味着免疫条件中的mac duration=investment horizon这个条件成立,所以price risk与reinvestment risk可以相互抵消。

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