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Tong · 2025年05月18日

为什么C选项是对的，麻烦老师解释一下原因

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000020

问题如下：

Which of the following strategies best addresses the liquidity risk of a less frequently traded bond position in an active manager’s portfolio?

选项：

A.

Enter into a receive fixed, pay floating asset swap, unwinding the swap position once the illiquid bond position is sold.

B.

Sell single-name CDS protection on the illiquid bond issuer, unwinding the CDS contract when the bond is sold.

C.

Allocate the illiquid bond to the buy-and-hold portion of the investment portfolio.

解释：

C is correct. Both A and B represent “long” risk positions that would increase rather than offset the benchmark yield and credit spread risk to the portfolio manager related to the illiquid bond.

为什么C选项是对的，麻烦老师解释一下原因，谢谢。

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发亮_品职助教 · 2025年05月19日

c是从根源上解决了流动性差债券带来的交易不便利问题。


就是如果要投资流动性差的债券，可以直接把债券放到buy-and-hold账户里，这个账户不会在中途交易，是买入债券之后就要持有至到期，所以哪怕债券的流动性差也不会影响到投资。

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