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
Yes
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?