NO.PZ2018113001000080
问题如下：
Roderick is the chief financial officer of
a chocolate company. A year ago, the company issued floating rate bonds. Roderick
now expects interest rates to rise and remain high levels for the next two
years. Over the next two years, Roderick wants to use interest-rate swaps to
effectively convert floating-rate bonds into fixed-rate payments.
Explain how Roderick would construct this swap
from the following perspectives:
i: tenor
ii: the cash flow of the swap
iii: the notional value of the swap
iv. settlement dates
选项：
解释：
Answer:
i: The swap term is two years, in line with the length of time for which Roderick expects rates to stay high.
ii: Roderick will establish an interest rate swap in which Roderick will receive payments based on a floating reference rate and will make payments based on a fixed rate. The source of the reference rate and the value of the fixed rate will be determined at the commencement of the swap.
For Roderick, the net effect of receiving fixed
payments and making floating payment in the swap for his coupon bonds is to
convert his floating obligation to pay a fixed obligation. This situation will
benefit Roderick if Tioga's expectations of higher interest rates are realized.
iii: The notional value of the swap should be set such that the floating payments that Wyalusing receive will equal the float coupon payments that Wyalusing must make on its float-rate bond obligations.
v. Swap settlement dates should be set on the same days as the float-rate bond’s coupon payment dates.
中文解析：
本题考察的是利用利率互换来改变负债的性质。
一年前，公司发行了浮动息票债券。Roderick现在预计利率将会上升，并在未来两年内保持在高位。在这两年期间，Roderick希望使用利率互换来有效地将浮动利率债券的息票支付转换为固定利率支付。这样在高利率水平下，支付的票息就会下降，对公司有利。
该互换需要满足以下四点：
1. 需要进入一个收到浮动支付固定的互换中。其中互换的期限是两年，和预测的高利率维持的时间一样长；
2. 是作为收到浮动支付固定的一方，并且使得收到的浮动和在原来浮动利率债券中支付的浮动一样，从而相互抵消，将其债券息票支付的浮动义务转换为支付固定的义务。在这种情况下如果Roderick的高利率预期得以实现，将使公司受益。
3. 互换的名义本金应设定为使得公司获得的浮动收益与其必须支付的浮动息票收益相等的金额。
4. 互换的结算日期应与浮动利率债券的息票支付日期相同。
i.tenor: would be 2 years which matches the expectation of increasing interest rates.
ii.The cash flow: Roderick should enter into a swap which pay fix interest rate and receive float interest rate.
iii.the nv should be the (target duration - current duration)*portfolio value/swap duration
iv. setttlement date should be the same day as the company pay interests on the floating loan.
