请问TRS不是OTC么为什么是不包括 credit component？还有Creation units 是什么意思
Shrewsbury evaluates alternate ways to establish passive bond market exposure. His preference is to select an instrument that hedges not only the interest rate component of the liability’s discount rate but also the credit component. The obligation should reference a corporate bond index but be structured as a synthetic secured financing transaction.
Q. Shrewsbury would most likely choose which instrument to achieve his alternate investment objective?
- Creation units
- Interest rate swap
- Total return swap
C is correct. A total return swap (TRS) is an over-the-counter portfolio derivative strategy that combines elements of interest rate swaps and credit derivatives. There is an exchange of cash flows between the two parties over the tenure of the contract, based on a reference obligation that is an underlying equity, commodity, or bond index. In this case, the reference obligation would be a corporate bond index. Creation units are large blocks of exchange-traded fund (ETF) shares traded against a basket of underlying securities; this transaction typically occurs between the ETF distributor and a broker/dealer. Entering into a creation unit transaction is done to facilitate trading but does not establish a passive bond position. The DB plan could use also use the actual ETF as an alternate passive instrument.
A is incorrect because creation units are large blocks of ETF shares traded against a basket of underlying securities.
B is incorrect because the DB plan needs to establish passive interest rate and credit exposure.
