NO.PZ202208260100000602
问题如下:
Ace's client is an asset manager with a significant portion of its fixed-rate bond investment portfolio maturing soon. Ace intends to reinvest the proceeds in five-year bond maturities. Which of the following describes the best course of action in the derivatives market for Ace's client to address its bond reinvestment risk?
选项:
A.Ace's client should consider receiving fixed on a cash-settled five-year forward-starting swap that starts and settles in three months in order to best address its bond reinvestment risk.
B.Ace's client should consider paying fixed on a cash-settled five-year forward-starting swap starting in three months in order to best address its bond reinvestment risk.
C.Ace's client should consider entering a series of forward rate agreements (FRAs) from today until five years from now under which it pays a fixed rate and receives a floating rate each period ending in five years to address its bond reinvestment risk.
解释:
Solution
A is correct.
Ace's client should consider receiving fixed on a five-year swap. A receive-fixed swap has a risk and return profile similar to that of a long fixed-rate bond position. Ace's client would therefore expect to have a similar MTM gain or loss on the swap position as if it had purchased a five-year bond at inception.
中文解析
题干大意:Ace的客户是一家资产管理公司,其固定利率债券投资组合的很大一部分即将到期。Ace打算将所得资金再投资于五年期债券。问下列哪项是Ace的客户在衍生品市场上解决其债券再投资风险的最佳行动方案。
由于Ace打算将所得资金再投资于五年期债券,因此他也可以选择进入期限为5年的收到固定利率支付浮动利率的互换,因为在互换中收到固定利率相当于是投资了一个固定利率的债券,因此进入此互换是合适的。
麻烦老师,为什么C不对。。不理解这题。。