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Alice_090 · 2025年03月20日

第一个头寸不太理解

NO.PZ2018113001000028

问题如下:

A company issues a leveraged floating-rate note that pays a coupon of 1.5 times Libor on notional principle of $1 million. It uses the proceeds to buy a fixed-rate bond with coupon rate of 6%. In order to hedge the floating payments risk, the company enters into a swap with a fixed rate of 5% and a floating rate of 1.5 times Libor. Calculate the net profit of these transactions.

选项:

A.

$20,000

B.

$10,000

C.

$15,000

解释:

B is correct.

考点:managing interest rate risk

解析:

总头寸有三个:

1. 发行了一个Leveraged floating-rate note: 支付1.5 * L *NP=1.5*libor*1million利息,收到本金1million

2. 用收到的1million来购买了Fixed rate bond: 收到6% * NP=6%*1million的利息

3. Swap: 为了抵消付浮动的头寸,应该进入收浮动(1.5*libor)、付固定(5%)的swap,名义本金为1million

净收益=

-(1.5*libor*1million)+ 6%*1million + (1.5*libor*1million -5%*1million )

=1%*1million

=$10,000

题目说发行了一个floating bond,但是也没有说已经支付了一笔利息,并且拿回本金啊?是怎么判断出时点的呢?

1 个答案

李坏_品职助教 · 2025年03月21日

嗨,努力学习的PZer你好:


这个题目其实是想问你,每一期的净现金流是多少?他是默认刚刚开始进行交易。


因为发行了note,这个每一期都要支付浮动利息,所以净现金流是 - 1.5 * libor * 1million。

因为买入了fixed rate bond,每一期回收到利息,净现金流是6% * 1million。

最后因为有swap, 为了抵消Libor, 应该是收取浮动利息并且支付固定利息,净现金流 = 1.5*libor * 1 million - 5% * 1million。


把这三个净现金流都加起来就行了。

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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