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奔走的狗尾巴草 · 2022年01月02日

C选项的意思是什么呢？

  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.

是卖不掉就不卖的意思吗？
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1 个答案

pzqa015 · 2022年01月03日

嗨，爱思考的PZer你好：


是的

C选项的意思就是把流动性差的债券放到持有至到期策略中。

解决流动性差的债券，有如下方法：

一是持有至到期；

二是用流动性好的交易工具代替直接买债券，比如，买ETF或者CDS；

三是用衍生品，如swap；

对于题目说的组合中已经有了这只流动性差的债券，基金经理管理流动性风险要么持有至到期（C选项）、要么再进入一份pay fixed，received float 的swap合约（A选项说反了）、买一份债券发行人的CDS（B选项也说反了）。

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