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Libra · 2024年03月26日

B选项pay fixed swap为什么是降低duration

  1. CFA III
  2. Fixed Income

NO.PZ2021120102000002

问题如下：

An analyst manages an active fixed-income fund that is benchmarked to the Bloomberg Barclays US Treasury Index.

This index of US government bonds currently has a modified portfolio duration of 7.25 and an average maturity of 8.5 years. The yield curve is upward-sloping and expected to remain unchanged. Which of the following is the least attractive portfolio positioning strategy in a static curve environment?

选项：

A.

Purchasing a 10-year zero-coupon bond with a yield of 2% and a price of 82.035

B.

Entering a pay-fixed, 30-year USD interest rate swap

C.

Purchasing a 20-year Treasury and financing it in the repo market

解释：

B is correct.

The 30-year pay-fixed swap is a “short” duration position and also results in negative carry (that is, the fixed rate paid would exceed MRR received) in an upward-sloping yield curve environment; therefore, it is the least attractive static curve strategy.

In the case of a.), the manager enters a “buy-and-hold” strategy by purchasing the 10-year zero-coupon bond and extends duration, which is equal to 9.80 = 10/1.02 since the Macaulay duration of a zero equals its maturity, and ModDur = MacDur/(1+r) versus 7.25 for the index.

Under c.), the manager introduces leverage by purchasing a long-term bond and financing it at a lower short-term repo rate.

B选项pay fixed swap为什么是降低duration

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1 个答案

pzqa31 · 2024年03月27日

嗨，努力学习的PZer你好：


pay fixed swap，支付固定收浮动，fixed bond的duration＞0，float bond的duartion近似为0，说是近似，是因为在reset date，float bond的duration=0，在两个reset date之间，duration＞0，所以一般我们近似认为float bond的duration为0。所以这个付固定收浮动的Swap，他的净Duration为：浮动利率债券的Duration 减去 固定利率债券的Duration。因为浮动利率债券的Duration几乎可以看成零，所以这个Swap的Duration为负数，买入以这个Swap为标的物的Swaption可以降低资产端的Duration。

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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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