NO.PZ2022090602000054
问题如下：
Moynahan and Gayle continue their discussion about the presentation and debate several potential subjects to include on page 5. Gayle suggests assessing the use of leverage in the portfolios. They decide to present a scenario where the portfolio is fully invested, but given their outlook for a decline in interest rates, they want to increase the portfolio’s investment exposure. The portfolio and the benchmark both currently have the same duration.
What trades can Moynahan most likely make to accomplish the objective outlined on page 5 of his presentation?
选项：
A.Enter into a fixed-rate payer swap contract
B.Buy long bond futures contracts
C.Sell an overnight repurchase agreement
Solution
解释：
B is correct. To accomplish Moynahan’s objective of increasing the investment exposure of a fully invested portfolio, he would buy long bond futures. Futures contracts embed significant leverage because they permit the counterparties to gain exposure to a large quantity of the underlying asset without having to actually transact in the asset.
A is incorrect because entering into a fixed-rate payer swap contract would not increase the portfolio’s investment exposure.
C is incorrect because selling an overnight repurchase agreement would not increase the portfolio’s investment exposure.
如果在预计利率下降的情景下，要提升组合久期、获取更高回报。 Enter into a fixed-rate payer swap contract 不是就是增加相应敞口嘛？
