anina2022-05-16 14:07:07

固收官网题 这个题 不懂 另外书上这段话也不懂 Another source of spread risk is the use of interest rate swap overlays. We showed how receive-fixed swaps, purchased receiver swaptions, and swaption collars can reduce the duration gap between pension plan assets and liabilities. In that example, ΔHedge Yields refers to fixed rates on interest rate swaps referencing the three-month MRR. The spread risk is between high-quality corporate bond yields and swap rates. Typically, there is less volatility in the corporate/swap spread than in the corporate/Treasury spread because both the MRR and corporate bond yields contain credit risk vis-à-vis Treasuries. Therefore, one of the usual advantages to hedging corporate bond risk with interest rate swaps is that those derivatives pose less spread risk than Treasury futures contracts. 麻烦解释一下这里