开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

沐沐的方盒 · 2024年06月30日

第三问没理解

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。

老师,麻烦帮解答一下第三问。

2 个答案

pzqa27 · 2024年08月09日

嗨,努力学习的PZer你好:


一般来说是的,这样可以更更好的匹配上swap的浮动端和floating bond每一期支付的金额。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

pzqa27 · 2024年07月01日

嗨,从没放弃的小努力你好:


“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。”是指本来这家公司要支付一笔浮动利率,预期利率上升,所以进入一个收浮动支付固定的swap,要保证这个swap里的收浮动和原本的支付浮动的利率相等,这样才能彻底消掉浮动利率,转变成固定利率。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

Fiona · 2024年08月09日

这个名义本金的数量是不是等于债券的面值?

  • 2

    回答
  • 0

    关注
  • 83

    浏览
相关问题

NO.PZ2018113001000080 问题如下 Roriis the chief financiofficer ofa chocolate company. A yeago, the company issuefloating rate bon. Roricknow expects interest rates to rise anremain high levels for the next twoyears. Over the next two years, Roriwants to use interest-rate swaps toeffectively convert floating-rate bon into fixerate payments.Explain how Roriwoulconstruthis swapfrom the following perspectives:i: tenorii: the cash flow of the swapiii: the notionvalue of the swapiv. settlement tes Answer:i: The swterm is two years, in line with thelength of time for whiRoriexpects rates to sthigh.ii: Roriwill establish interest rateswin whiRoriwill receive payments baseon a floating referenrateanwill make payments baseon a fixerate. The sourof the referenrateanthe value of the fixerate will terminethe commencement of theswap.For Rorick, the net effeof receiving fixeayments anmaking floating payment in the swfor his coupon bon is toconvert his floating obligation to pa fixeobligation. This situation willbenefit Roriif Tioga's expectations of higher interest rates are realizeiii: The notionvalue of the swshoulbeset suththe floating payments thWyalusing receive will equthe floatcoupon payments thWyalusing must make on its float-rate bonobligations.v. Swsettlement tes shoulset on the same ys the float-rate bons coupon payment tes. 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。Rorick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,Rorick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Rorick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: woul2 years whimatches the expectation of increasing interest rates.ii.The cash flow: Rorishoulenter into a swwhipfix interest rate anreceive flointerest rate.iii.the nv shoulthe (target ration - current ration)*portfolio value/swrationiv. setttlement te shoulthe same y the company pinterests on the floating loan.

2023-12-13 21:48 1 · 回答

NO.PZ2018113001000080 问题如下 Roriis the chief financiofficer ofa chocolate company. A yeago, the company issuefloating rate bon. Roricknow expects interest rates to rise anremain high levels for the next twoyears. Over the next two years, Roriwants to use interest-rate swaps toeffectively convert floating-rate bon into fixerate payments.Explain how Roriwoulconstruthis swapfrom the following perspectives:i: tenorii: the cash flow of the swapiii: the notionvalue of the swapiv. settlement tes Answer:i: The swterm is two years, in line with thelength of time for whiRoriexpects rates to sthigh.ii: Roriwill establish interest rateswin whiRoriwill receive payments baseon a floating referenrateanwill make payments baseon a fixerate. The sourof the referenrateanthe value of the fixerate will terminethe commencement of theswap.For Rorick, the net effeof receiving fixeayments anmaking floating payment in the swfor his coupon bon is toconvert his floating obligation to pa fixeobligation. This situation willbenefit Roriif Tioga's expectations of higher interest rates are realizeiii: The notionvalue of the swshoulbeset suththe floating payments thWyalusing receive will equthe floatcoupon payments thWyalusing must make on its float-rate bonobligations.v. Swsettlement tes shoulset on the same ys the float-rate bons coupon payment tes. 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。Rorick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,Rorick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Rorick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。 using payer swto effectively convert floating-rate bon into fixerate payments,whichee risk of rising interest rates.1 tenorthe tenor of swis two years2 the cash flow of the swapreceive floating MRR, paying fixerate3 the notionvalue of the swapthe notionvalue of the swis the principof floating rate bon.4 settlement testhe settlement tes is the te ththe company pays floating interest to investors on.

2023-05-20 21:33 2 · 回答

NO.PZ2018113001000080 问题如下 Roriis the chief financiofficer ofa chocolate company. A yeago, the company issuefloating rate bon. Roricknow expects interest rates to rise anremain high levels for the next twoyears. Over the next two years, Roriwants to use interest-rate swaps toeffectively convert floating-rate bon into fixerate payments.Explain how Roriwoulconstruthis swapfrom the following perspectives:i: tenorii: the cash flow of the swapiii: the notionvalue of the swapiv. settlement tes Answer:i: The swterm is two years, in line with thelength of time for whiRoriexpects rates to sthigh.ii: Roriwill establish interest rateswin whiRoriwill receive payments baseon a floating referenrateanwill make payments baseon a fixerate. The sourof the referenrateanthe value of the fixerate will terminethe commencement of theswap.For Rorick, the net effeof receiving fixeayments anmaking floating payment in the swfor his coupon bon is toconvert his floating obligation to pa fixeobligation. This situation willbenefit Roriif Tioga's expectations of higher interest rates are realizeiii: The notionvalue of the swshoulbeset suththe floating payments thWyalusing receive will equthe floatcoupon payments thWyalusing must make on its float-rate bonobligations.v. Swsettlement tes shoulset on the same ys the float-rate bons coupon payment tes. 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。Rorick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,Rorick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Rorick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。 老师您好,关于这句话的意思,不是让互换的名义本金和该公司发行的浮动利率债券的面值一样吧?根据公式MRt*MVp=MRp*MVp+NPs*MRs,那么swap的notionprincipal不是取决于swap的ration么?

2022-12-12 20:15 1 · 回答

NO.PZ2018113001000080问题如下 Roriis the chief financiofficer ofa chocolate company. A yeago, the company issuefloating rate bon. Roricknow expects interest rates to rise anremain high levels for the next twoyears. Over the next two years, Roriwants to use interest-rate swaps toeffectively convert floating-rate bon into fixerate payments.Explain how Roriwoulconstruthis swapfrom the following perspectives:i: tenorii: the cash flow of the swapiii: the notionvalue of the swapiv. settlement tes Answer:i: The swterm is two years, in line with thelength of time for whiRoriexpects rates to sthigh.ii: Roriwill establish interest rateswin whiRoriwill receive payments baseon a floating referenrateanwill make payments baseon a fixerate. The sourof the referenrateanthe value of the fixerate will terminethe commencement of theswap.For Rorick, the net effeof receiving fixeayments anmaking floating payment in the swfor his coupon bon is toconvert his floating obligation to pa fixeobligation. This situation willbenefit Roriif Tioga's expectations of higher interest rates are realizeiii: The notionvalue of the swshoulbeset suththe floating payments thWyalusing receive will equthe floatcoupon payments thWyalusing must make on its float-rate bonobligations.v. Swsettlement tes shoulset on the same ys the float-rate bons coupon payment tes. 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。Rorick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,Rorick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Rorick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。 请问老师这句话 “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 ”的意思是不是等价于swnotionequals bonnotionprinciple?

2022-04-09 12:22 2 · 回答