swap

问题如下：

Which type of total return swap is Tryon most likely to use given his view on Inwood stock equity? Buy a one-year:

选项：

cash-settled total return payer swap.

cash-settled total return receiver swap.

physically settled total return payer swap.

解释：

A is correct. Equity swaps that have a single stock as underlying can be cash settled or physically settled. If the swap is cash settled, on the termination date of the contract, the equity swap payer will pay (receive) the equity appreciation (depreciation) in cash. Because Bennett believes the stock may temporarily decline in price, he would want to hedge the position by receiving any depreciation in price. If the swap is physically settled, on the termination date, the equity swap receiver will receive the quantity of the single stock specified in the contract and pay the notional amount. Because Tryon wants to keep the shares, a cash-settled total return payer swap is an appropriate strategy that hedges the equity position in Inwood.

B is incorrect. The swap receiver would establish a long position in Inwood that does not hedge the current holding.

C is incorrect. “Physically settled” does not fit Tryon’s strategy because he wants to hold the Inwood position.

中文解析：

本题考察的是用equity swap来管理equity risk。

题干大意是一只基金持有一家公司的股票10,000股，目前交易价格为100.00美元。现在预测接下来五个季度的财报表现将低于市场的普遍预期，但从长期来看，鉴于该公司积压了大量新产品，股票还是有价值的。因此想在不出售股票的情况下，在这段时间内把股票的收益换出去。

Equity swap既可以用现金结算也可以实物结算。实物结算即将股票交割出去。但是因为题干中说了不想出售该股票，所以不能采用实物结算，排除C选项。现金结算是将该股票的增值或者贬值部分的收益交换出去，不会涉及股票的转移。

又因为他想把股票的收益换出去，因此是作为payer swap的一方。