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biguo · 2024年03月26日

Total return swap

  1. CFA III
  2. Fixed Income

NO.PZ2018120301000020

问题如下：

Afterproviding Trey with advice on direct investment, Serena offered him additionalinformation on alternative indirect investment strategies using (1) bond mutualfunds, (2) exchange-traded funds (ETFs), and (3) total return swaps.

Treyexpresses interest in using bond mutual funds rather than the other strategiesfor the following reasons.

1. Reason 1: Total return swaps have much highertransaction costs and initial cash outlay than bond mutual funds.

2. Reason 2: Unlike bond mutual funds, bond ETFscan trade at discounts to their underlying indexes, and those discounts canpersist.

3. Reason 3: Bond mutual funds can be tradedthroughout the day at the net asset value of the underlying bonds.

Whichof Trey’s reasons for choosing bond mutual funds as an investment vehicle iscorrect?

选项：

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释：

Correct Answer: B

B is correct. Although a significant spread between the market price of the underlying fixed-income securities portfolio and an ETF’s NAV should drive an authorized participant to engage in arbitrage, many fixed-income securities are either thinly traded or not traded at all. This situation might allow such a divergence to persist.

我想请问一下，针对第一个原因，swap的成本不是会高一些吗？因为尽管是OTC产品，但是有margin要求？还有，ETF NAV和二级市场的价差会一直持续吗？可以总套利？另外，想问一下这个题的考点对应讲义哪里呢？我都不记得哪里说哪些是日间交易，哪些是什么时候交易了。谢谢

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1 个答案

pzqa31 · 2024年03月26日

嗨，从没放弃的小努力你好：


total return swap期初没有outlay，只交换期间的现金流，所以，它的成本是低于mutual fund的，A这句话刚好说反了，三级里基本不考虑保证金问题，提到现金流就是指的本金或者期间现金流。


ETF NAV和二级市场的价差，会持续存在一定时间，这段时间就是可以套利的窗口,但不会一直持续。


相关知识点在Alternative Methods for Passive Bond Market Exposure这部分有讲解，讲义如下，同学可以再去听一下。

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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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