问题如下图：
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NO.PZ201812020100000308 问题如下 Serenais a risk management specialist with Liability Protection Aisors. Trey, CFOof Kiest Manufacturing, enlists Serena’s help with three projects.Thefirst projeis to fease some of Kiest’s existing fixerate bon tharematuring in eaof the next three years. The bon have no call or putprovisions anpinterest annually. Exhibit 1 presents the paymentschele for the bon.Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Serenaexplains to Trey ththe unrlying ration-matching strategy is baseon thefollowing three assumptions.1. Yielcurve shifts in the future will beparallel. 2. Bontypes anquality will closely matchthose of the liabilities. 3. The portfolio will rebalancebuying orselling bon rather thusing rivatives.Thethirprojefor Serena is to make a significant reinvestment in broayversifieglobbon for Kiest’s pension plan. Kiest ha young workforce,anthus, the plha long-term investment horizon. Trey nee Serena’s helpto selea benchmark inx this appropriate for Kiest’s young workforce.Serena scusses three benchmark cantes, presentein Exhibit 3 Withthe benchmark selecte Trey provis guilines to Serena recting her to (1)use the most cost-effective methoto trathe benchmark an(2) provi lowtracking error. Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon. Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? Reason 1 Reason 2 Reason 3 Bis correct. Although a significant sprebetween the market priof theunrlying fixeincome securities portfolio anETF’s Nshoulive anauthorizeparticipant to engage in arbitrage, many fixeincome securities areeither thinly traor not traall. This situation might allow suavergento persist. 这句话错在 mutufun是买入可以再当日进行，但是赎回不可以当日赎回？
NO.PZ201812020100000308 问题如下 Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? Reason 1 Reason 2 Reason 3 Bis correct. Although a significant sprebetween the market priof theunrlying fixeincome securities portfolio anETF’s Nshoulive anauthorizeparticipant to engage in arbitrage, many fixeincome securities areeither thinly traor not traall. This situation might allow suavergento persist. 如题
NO.PZ201812020100000308 问题如下 Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? Reason 1 Reason 2 Reason 3 Bis correct. Although a significant sprebetween the market priof theunrlying fixeincome securities portfolio anETF’s Nshoulive anauthorizeparticipant to engage in arbitrage, many fixeincome securities areeither thinly traor not traall. This situation might allow suavergento persist. 理由1 和理由2都是陈述swap和etf ，不是陈述为什么选择mutufun的理由啊，只有理由3是说了mutufun感觉做题的时候收到了问法的干扰，会选理由3.而且对于throughout这个单词如果稍微理解偏差（如果没理解成intray的话）就不觉得说的不对。
NO.PZ201812020100000308 问题如下 Serenais a risk management specialist with Liability Protection Aisors. Trey, CFOof Kiest Manufacturing, enlists Serena’s help with three projects.Thefirst projeis to fease some of Kiest’s existing fixerate bon tharematuring in eaof the next three years. The bon have no call or putprovisions anpinterest annually. Exhibit 1 presents the paymentschele for the bon.Theseconprojefor Serena is to help Trey immunize a $20 million portfolioof liabilities. The liabilities range from 3.00 years to 8.50 years with aMacaulration of 5.34 years, cash flow yielof 3.25%, portfolio convexityof 33.05, anbasis point value (BPV) of $10,505. Serena suggesteemploying aration-matching strategy using one of the three Aratebonportfoliospresentein Exhibit 2.Serenaexplains to Trey ththe unrlying ration-matching strategy is baseon thefollowing three assumptions.1. Yielcurve shifts in the future will beparallel. 2. Bontypes anquality will closely matchthose of the liabilities. 3. The portfolio will rebalancebuying orselling bon rather thusing rivatives.Thethirprojefor Serena is to make a significant reinvestment in broayversifieglobbon for Kiest’s pension plan. Kiest ha young workforce,anthus, the plha long-term investment horizon. Trey nee Serena’s helpto selea benchmark inx this appropriate for Kiest’s young workforce.Serena scusses three benchmark cantes, presentein Exhibit 3 Withthe benchmark selecte Trey provis guilines to Serena recting her to (1)use the most cost-effective methoto trathe benchmark an(2) provi lowtracking error. Afterproving Trey with aion reinvestment, Serena offerehim aitionalinformation on alternative inreinvestment strategies using (1) bonmutualfun, (2) exchange-trafun (ETFs), an(3) totreturn swaps. Treyexpresses interest in using bonmutufun rather ththe other strategiesfor the following reasons.1. Reason 1: Totreturn swaps have muhighertransaction costs aniniticash outlthbonmutufun. 2. Reason 2: Unlike bonmutufun, bonETFsctra scounts to their unrlying inxes, anthose scounts canpersist. 3. Reason 3: Bonmutufun ctrahroughout the y the net asset value of the unrlying bon. Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? Reason 1 Reason 2 Reason 3 Bis correct. Although a significant sprebetween the market priof theunrlying fixeincome securities portfolio anETF’s Nshoulive anauthorizeparticipant to engage in arbitrage, many fixeincome securities areeither thinly traor not traall. This situation might allow suavergento persist. 请老师解答open-enMutufunclose-enMutufunETF--到底谁的的liquity 更好？-- 1和2到底能不能intray交易？谢谢！
NO.PZ201812020100000308 问题如下 Whichof Trey’s reasons for choosing bonmutufun investment vehicle iscorrect? Reason 1 Reason 2 Reason 3 Bis correct. Although a significant sprebetween the market priof theunrlying fixeincome securities portfolio anETF’s Nshoulive anauthorizeparticipant to engage in arbitrage, many fixeincome securities areeither thinly traor not traall. This situation might allow suavergento persist. 这句话实际上是说Open-enmutufun资者可以从基金公司以NAV赎回基金，相比而言，ETF的优势就是他还可以像股票一样在二级市场交易，因为是二级市场交易，交易价格非常有可能偏离NAV（scount/Premium），但好处就是可以在二级市场的交易时间内（Trag y）随时交易。而不像Mutufun完成交易需要等待几天。'1.有没有说ETF一定是scount啊？2.Reason 1不对的原因是不是totreturn swap没有initicash flow只中间交换现金流？3.我记得有一种交易是期初也需要交换，是哪种啊？
