书后第三题
A company issues a leveraged floating-rate note with a face value of $5,000,000 that pays a coupon of 2.5 times Libor. The company plans to generate a profit by selling the notes, using the proceeds to purchase a bond with a fixed coupon rate of 7 percent a year, and hedging the risk by entering into an appropriate swap. A swap dealer provides a quote with a fixed rate of 6 percent and a floating rate of Libor. Discuss whether the company should enter into a swap involving paying fixed, receiving floating or paying floating, receiving fixed. Calculate the amount of the arbitrage profit the company can earn by entering into the appropriate swap. In your answer, indicate the cash flows generated at each step. Also explain what additional risk the company is taking on by doing the swap.
(Institute 407)
答案
Because the company has a floating-rate obligation on the floating-rate note, it should enter into a swap involving receiving a floating rate. Accordingly, the appropriate swap to hedge the risk and earn a profit would be a pay-fixed, receive-floating swap. Let Libor be L. Cash flows generated at each step are as follows:
Issue leveraged floating-rate notes and pay coupon =
L(2.5)($5,000,000) = $12,500,000L
Buy bonds with a face value = (2.5)($5,000,000) = $12,500,000
Receive a coupon = (0.07)($12,500,000) = $875,000
我的问题是第二部购买固定利率债券，我理解第一步卖出leveraged floating rate notes时收到的是面值5m，那么购买固定利率债券只有5m本金，如何购买2.5*5m的面值呢，这一点基础课件是讲固定利率债券很便宜，发行leveraged floating rate notes可以购买2.5份固定利率债券，但是在此题中只收到5m，那么无论买多少份也只能是5m的头寸，怎么能是2.5*5m呢？
