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Avalon · 2023年06月30日

麻烦老师,为什么C不对。。不理解这题。。

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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。。

1 个答案
已采纳答案

Lucky_品职助教 · 2023年07月01日

嗨,从没放弃的小努力你好:


Ace的客户应该考虑在现货市场上以固定利率支付,参与一项为期五年的远期起始互换(forward-starting swap),并选择收取固定利率(receiving fixed)。通过这样的操作,客户可以在未来五年期间锁定固定利率,以对冲其债券到期后再投资的风险。

通过参与这项远期起始互换,客户可以获得与持有长期固定利率债券类似的风险和回报特征。客户可以期望在互换交易中获得类似于购买五年期债券的初始投资的市场价值变动(MTM gain or loss)。

选项A中提到的"receiving fixed on a five-year forward-starting swap"即为客户考虑的最佳行动方案。

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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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