题目
Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage strategy and earn a profit by selling the notes, using the proceeds to purchase a bond with a fixed semiannual coupon rate of 6.75% a year, and hedging the risk by entering into an appropriate swap. Gamma Industries receives a quote from a swap dealer with a fixed rate of 5.75% and a floating rate of LIBOR. What would be the most appropriate type of swap Gamma Industries, Inc. should enter into to hedge their risk?
选项
A.Pay-fixed, receive-fixed.
B.Pay-floating, receive-fixed swap.
C.Pay-fixed, receive-floating.
D.The risk cannot be hedged with a swap.
答案
B
解析
The company has a floating outflow of (11.50% - LIBOR) and a fixed inflow of 6.75%. On the outflow, -LIBOR is the same as an inflow Pay-floating, Receive-fixed. Gamma Industries is exposed to interest rate fluctuations of LIBOR. Therefore, the appropriate swap would be a pay-floating, receive-fixed swap. 1.这是一个发行反向floater债券（inverse）：付11.5%-L ，也就是付11.5%，收L。 2.这个公司第二个策略是买固定利息债券：收6.75%。 3.因此他的总策略现金流是这样的：收L-11.5%＋6.75%=L-4.75%（也就可以拆分成：收L，付4.75%） 。 4.问的是买那种swap去对冲这种风险：反向现金流：付L，收固定 总之呢，这题就是找出所有的现金流，进行一个加总。根据总的现金流方向去确定swap，后面给的是dealer报出的swap现金流（与本题没什么关系）。