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little_back · 2022年04月09日

请问老师：swap notional 是不是等于bond notional principle？

  1. CFA III
  2. Derivative

NO.PZ2018113001000080

问题如下：

Roderick is the chief financial officer of a chocolate company. A year ago, the company issued floating rate bonds. Roderick now expects interest rates to rise and remain high levels for the next two years. Over the next two years, Roderick wants to use interest-rate swaps to effectively convert floating-rate bonds into fixed-rate payments.

Explain how Roderick would construct this swap from the following perspectives:

i: tenor

ii: the cash flow of the swap

iii: the notional value of the swap

iv. settlement dates

选项：

解释：

Answer:

i: The swap term is two years, in line with the length of time for which Roderick expects rates to stay high.

ii: Roderick will establish an interest rate swap in which Roderick will receive payments based on a floating reference rate and will make payments based on a fixed rate. The source of the reference rate and the value of the fixed rate will be determined at the commencement of the swap.

For Roderick, the net effect of receiving fixed payments and making floating payment in the swap for his coupon bonds is to convert his floating obligation to pay a fixed obligation. This situation will benefit Roderick if Tioga's expectations of higher interest rates are realized.

iii: The notional value of the swap should be set such that the floating payments that Wyalusing receive will equal the float coupon payments that Wyalusing must make on its float-rate bond obligations.

v. Swap settlement dates should be set on the same days as the float-rate bond’s coupon payment dates.

中文解析：

本题考察的是利用利率互换来改变负债的性质。

一年前，公司发行了浮动息票债券。Roderick现在预计利率将会上升，并在未来两年内保持在高位。在这两年期间，Roderick希望使用利率互换来有效地将浮动利率债券的息票支付转换为固定利率支付。这样在高利率水平下，支付的票息就会下降，对公司有利。

该互换需要满足以下四点：

1. 需要进入一个收到浮动支付固定的互换中。其中互换的期限是两年，和预测的高利率维持的时间一样长；

2. 是作为收到浮动支付固定的一方，并且使得收到的浮动和在原来浮动利率债券中支付的浮动一样，从而相互抵消，将其债券息票支付的浮动义务转换为支付固定的义务。在这种情况下如果Roderick的高利率预期得以实现，将使公司受益。

3. 互换的名义本金应设定为使得公司获得的浮动收益与其必须支付的浮动息票收益相等的金额。

4. 互换的结算日期应与浮动利率债券的息票支付日期相同。

请问老师：这句话 “互换的名义本金应设定为使得公司获得的浮动收益与其必须支付的浮动息票收益相等的金额 ”的意思是不是等价于swap notional equals bond notional principle？

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2 个答案

pzqa31 · 2023年05月10日

嗨，从没放弃的小努力你好：


“互换的名义本金应设定为使得公司获得的浮动收益与其必须支付的浮动息票收益相等的金额。”是指本来这家公司要支付一笔浮动利率，预期利率上升，所以进入一个收浮动支付固定的swap,要保证这个swap里的收浮动和原本的支付浮动的利率相等，这样才能彻底消掉浮动利率，转变成固定利率，不是说固定利率和浮动利率相等。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Hertz_品职助教 · 2022年04月11日

嗨，努力学习的PZer你好：


同学你好~

问题：

请问老师：这句话 “互换的名义本金应设定为使得公司获得的浮动收益与其必须支付的浮动息票收益相等的金额 ”的意思是不是等价于swap notional equals bond notional principle？

是的。即使互换的名义本金和该公司发行的浮动利率债券的面值一样。

一般情况下利率互换都是为了改变负债头寸而进入的，所以说互换的名义本金会和loan的金额相同，在这里是发行债券融资，也相当于一笔loan，原理是一样的。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

005 · 2023年05月09日

请问“互换收到的浮动收益与支付的息票收益 相等不一定意味着是本金相等吧，除非互换中的floating rate等于债券的coupon rate吧

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