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Zunniyaki · 2021年02月24日

cash flow matching在现实操作中能做到每一笔都完美的match住liablitiy的现金流和日期么？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ201812020100000105

问题如下：

Is Perreaux correct with respect to key features of cash flow matching?

选项：

A.

Yes.

B.

No, only Feature 1 is correct.

C.

No, only Feature 2 is correct.

解释：

B is correct.

Cash flow matching has no yield curve or interest rate assumptions. With this immunization approach, cash flows come from coupon and principal repayments that are expected to match and offset liability cash flows. Because bond cash inflows are scheduled to coincide with liability cash payouts, there is no need for reinvestment of cash flows. Thus, cash flow matching is not affected by interest rate movements. Cash flows coming from coupons and liquidating bond portfolio positions is a key feature of a duration-matching approach.

请问cash flow matching在现实操作中能做到每一笔都完美的match住liablitiy的现金流和日期么？我记得老师说过好像允许coupon提前于liability的日期，那这样会不会就有reinvestment risk了？

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发亮_品职助教 · 2021年02月25日

嗨，从没放弃的小努力你好：


“请问cash flow matching在现实操作中能做到每一笔都完美的match住liablitiy的现金流和日期么？”


一般来说是比较难完美匹配现金流金额与日期的，多多少少会出现现金流、日期的不匹配。但是对于一些简单的Liability，现金流规律非常简单的那种，现金流发生日期也很规律的那种，是有可能做到完美匹配的。


“我记得老师说过好像允许coupon提前于liability的日期，那这样会不会就有reinvestment risk了？”


会有可能Coupon的现金流提前于Liability的日期。但是不存在Reinvestment risk。

原因是提前拿到的Coupon现金流已经够偿还负债了，我们只是提前拿到他了而已，离负债到期可能还有一段期间，我们可以做无风险投资等待负债到期，这段期间内Coupon再投资收益是多少其实无所谓，反正这笔Coupon已经够偿还负债，我们不指望用再投资收益偿还负债。


举个例子，假设12.5个月后，到期的负债现金流为110元。我们现在买入了1只期限为1年，Coupon=10%按年付息的债券。那显然，在第12个月的时候，我们会收到本金100与Coupon 10，总现金流为110已经够偿还负债了。只是提前0.5个月拿到这笔现金流而已，这笔钱可以做无风险投资，也可以不投，至于这段期限这笔现金流的再投资收益如何，都不会影响到我们偿还负债。


Cash flow matching的精髓就是：偿还负债的现金流只是来自Coupon与Principal repayments，不存在再投资收益这一项（cash flows come from coupon and principal repayments that are expected to match and offset liability cash flows）。既然不依靠再投资收益偿还负债，也就自然无再投资风险了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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