RL
2023-12-21 10:45被題目繞暈了，搞不清楚利率利差到底要升還是降，看了答案更暈
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-12-22 10:05
該回答已被題主采納
同學(xué)，上午好。
He currently has a bullish view of the global economy and believes corporate bond spreads are attractive.這句話表明，全球經(jīng)濟(jì)變好，公司債利差收窄（信用利差收窄），公司債會(huì)漲。
He is bearish on US Treasury interest rates given his economic growth forecast and expects rates to increase.這句話關(guān)鍵是后半句，美債利率會(huì)上升，導(dǎo)致美債價(jià)格下跌。
he is bullish on Brazilian rates, expecting them to decrease.也是后半句，巴西利率會(huì)下跌。
因?yàn)閅TM=rf+spread，現(xiàn)在rf上漲，spread下跌，所以操作是He can sell the number of futures contracts on US Treasuries，這個(gè)操作相當(dāng)于賣出美國(guó)國(guó)債（使用期貨合約賣），那么rf這部分風(fēng)險(xiǎn)就被剔除，只保留spread收窄帶來的收益（Doing so would allow him to retain exposure (spread duration) to the corporate bonds）。
因?yàn)榘臀骼氏碌?，所以進(jìn)入一個(gè)收固定支浮動(dòng)的swap。
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