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Lich · 2023年06月25日

the duration of a two-year fixed rate loan is –1.5 years,receive 2years为啥是负的1.5?

NO.PZ2022123002000067

问题如下:

TCMS, a medical college, is also a client of NMSA. TCMS currently has a two-year loan outstanding with a 5.5% fixed annual interest rate. Bing expects a decline in interest rates and advises TCMS to enter into a two-year interest rate swap in which TCMS would pay Libor + 0.5% and receive a 5.5% fixed rate. From TCMS's perspective, the duration of a two-year fixed rate loan is –1.5 years and the duration of a floating rate loan is –0.125. Bing asks Torres, "Can you comment on the overall impact of the interest rate swap on TCMS?"

Torres responds, "The net effect of entering the swap is to reduce the interest rate sensitivity of the overall loan plus swap position relative to the loan by itself. If the swap is added, however, it will be harder for TCMS to predict cash flows, and from this perspective, the swap does not serve as a good hedge."

Is Torres’ response to Bing most likely correct?

选项:

A.

No, he is incorrect about hedging ability of the swap

B.

Yes

C.

No, he is incorrect about the sensitivity of the overall position

解释:

Correct Answer: B

Torres is correct on both accounts. The duration of the original loan is –1.5. The fixed leg of the interest rate swap has a duration of 1.5, and the duration of the variable leg of the swap is –0.125. Thus, the duration of the overall position is –0.125. The overall sensitivity is reduced. The firm will find it harder to predict cash flows, however, because the net exposure is to the variable Libor rate. Therefore, Torres is correct that the swap serves as a poor hedge from the perspective of predicting cash flows.

the duration of a two-year fixed rate loan is –1.5 years,receive 2years为啥是负的1.5?

1 个答案

pzqa31 · 2023年06月25日

嗨,从没放弃的小努力你好:


正负号仅代表收支方向。duration of a two-year fixed rate loan is –1.5 years,因为这是一笔贷款,是要付钱的。

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