NO.PZ2022123002000069
问题如下：
Lehigh discusses B&W’s market view that over the next 24 months,
midcap stocks will underperform small-cap stocks and interest rates will rise.
She recommends executing a swap transaction in order to alter the stock and
bond allocation and thus capture the economic benefit of B&W’s market view.
The investment committee considers the swap strategies outlined in Exhibit 5.
Exhibit 5 Swap Strategies
Which
of the following swaps will most likely capture the greatest economic
benefit based on the committee’s 24-month market view?
选项：
A.Swap
1
Swap
2
Swap
3
解释：
Correct Answer: A
A is correct
because a swap that receives LIBOR and pays the midcap index will outperform
either of the other swap alternatives outlined. Given the market expectation,
Lehigh wants to receive LIBOR because rates are expected to rise and pay the
midcap index because that index is expected to underperform the small-cap
index.
As above
