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。
- 这道题客户已经投资了固定利率债券了，如果要做对冲，为什么不是直接换浮动利率？
- 题干说客户的情况，问题问这家公司Ace想做reinvestment，客户跟公司是互为对手方的意思吗？
- forward starting interest rate swap是什么？那是不是还有forward ending xxx？这个书上有提过吗？（讲义上没有）
