国际金融练习题：Lecture 11

1、Lecture 10 - Interest Rate and Currency SwapsLecture 11 (Chapter 14)Interest Rate and Currency Swaps Multiple Choice Questions1.The term interest rate swapA.refers to a single-currency interest rate swap shortened to interest rate swap.B.involves counterparties who make a contractual agreement to ex

2、change cash flows at periodic intervals.C.can be fixed-for-floating rate or fixed-for-fixed rate.D.all of the above2.Examples of single-currency interest rate swap and cross-currency interest rate swap are:A.fixed-for-floating rate interest rate swap, where one counterparty exchanges the interest pa

3、yments of a floating- rate debt obligations for fixed-rate interest payments of the other counter party.B.fixed-for-fixed rate debt service (currency swap), where one counterparty exchanges the debt service obligations of a bond denominated in one currency for the debt service obligations of the oth

4、er counter party denominated in another currency.C.both a) and b)D.none of the above3.The primary reasons for a counterparty to use a currency swap areA.to hedge and to speculate.B.to play in the futures and forward markets.C.to obtain debt financing in the swapped currency at an interest cost reduc

5、tion brought about through comparative advantages each counterparty has in its national capital market, and the benefit of hedging long-run exchange rate exposure.D.both a) and b)4.The size of the swap market isA.measured by notational principal.B.over 7 trillion dollars.C.both a) and b)D.none of th

6、e above5.Which combination of the following statements is true about a swap bank?A.(i) and (ii)B.(i), (ii) and (iii)C.(i), (ii), (iii) and (iv)D.(i), (ii), (iii), (iv) and (v)6.A swap bankA.can act as a broker, bringing together counterparties to a swap.B.can act as a dealer, standing ready to buy a

7、nd sell swaps.C.both a) and b)D.only sometimes a) but never ever b)7.In the swap market, which position potentially carries greater risks, broker or dealer?A.BrokerB.DealerC.They are the same swaps, therefore the same risks.8.Suppose the quote for a five-year swap with semiannual payments is 8.508.6

8、0 percent. This meansA.the swap bank will pay semiannual fixed-rate dollar payments of 8.50 percent against receiving six-month dollar LIBOR.B.the swap bank will receive semiannual fixed-rate dollar payments of 8.60 percent against paying six-month dollar LIBOR.C.both a) and b)D.none of the above9.S

9、uppose the quote for a five-year swap with semiannual payments is 8.508.60 percent. This meansA.the swap bank will pay semiannual fixed-rate dollar payments of 8.60 percent against receiving six-month dollar LIBOR.B.the swap bank will receive semiannual fixed-rate dollar payments of 8.50 percent aga

10、inst paying six-month dollar LIBOR.C.if the swap bank is successful in getting counterparties to both legs of the swap at these prices, he will have an annual profit of ten basis points.D.none of the above10.A swap bank makes the following quotes for 5-year swaps and AAA-rated firms:A.The bank stand

11、s ready to pay $5.2% against receiving dollar LIBOR on 5-year loans.B.The bank stands ready to receive 7% against receiving dollar LIBOR on 5-year loans.C.The bank stands ready to pay 7% against receiving dollar LIBOR on 5-year loans.D.None of the above11.Suppose the quote for a five-year swap with

12、semiannual payments is 8.508.60 percent in dollars and 6.606.80 percent in euro against six-month dollar LIBOR. This meansA.the swap bank will enter into a currency swap in which it would pay semiannual fixed-rate dollar payments of 8.50 percent against receiving semiannual fixed-rate euro payments

13、of 6.80.B.the swap bank will enter into a currency swap in which it would pay semiannual fixed-rate euro payments of 6.60 percent against receiving semiannual fixed-rate dollar payments of 8.60.C.both a) and b)D.none of the above12.An interest-only single currency interest rate swapA.is also known a

14、s a plain vanilla swap.B.is also known as an interest rate swap.C.is about as simple as swaps can get.D.all of the above13.Company X and company Y have mirror-image financing needs (they both want to borrow equivalent amounts for the same amount of time. Company X has a AAA credit rating, but compan

15、y Ys credit standing is considerably lower.A.Company X should demand most of the QSD in any swap with Y as compensation for default risk.B.Since Y has a poor credit rating, it would not be a participant in the swap market.C.Company X should more readily agree to a swap involving Y if there is also a

16、 swap bank providing credit risk intermediation.D.both a) and c)14.A swap bank has identified two companies with mirror-image financing needs (they both want to borrow equivalent amounts for the same amount of time. Company X has agreed to one leg of the swap but company Y is playing hard to get.A.I

17、f the swap bank has already contracted one leg of the swap, they should be anxious to offer better terms to company Y to just get the deal done.B.The swap bank could just sell the company X side of the swap.C.Company X should lobby Y to get on board.D.Both a) and b)15.A swap bank has identified two

18、companies with mirror-image financing needs (they both want to borrow equivalent amounts for the same amount of time. Company X has agreed to one leg of the swap but company Y is playing hard to get.A.The swap bank could just sell the company X side of the swap.B.Company X should lobby Y to get on b

19、oard.C.Company Y should calculate the QSD and subtract that from their best outside offer.D.None of the above16.Company X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are shown below:A swap bank prop

20、oses the following interest only swap: X will pay the swap bank annual payments on $10,000,000 with the coupon rate of LIBOR - 0.15%; in exchange the swap bank will pay to company X interest payments on $10,000,000 at a fixed rate of 9.90%. What is the value of this swap to company X?A.Company X wil

21、l lose money on the deal.B.Company X will save 25 basis points per year on $10,000,000 = $25,000 per year.C.Company X will only break even on the deal.D.Company X will save 5 basis points per year on $10,000,000 = $5,000 per year.17.Company X wants to borrow $10,000,000 floating for 5 years; company

22、 Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are shown below:A swap bank proposes the following interest only swap: Y will pay the swap bank annual payments on $10,000,000 with a fixed rate of 9.90%. In exchange the swap bank will pay to company Y interest

23、 payments on $10,000,000 at LIBOR - 0.15%;What is the value of this swap to company Y?A.Company Y will save 15 basis points per year on $10,000,000 = $15,000 per year.B.Company Y will save 45 basis points per year on $10,000,000 = $45,000 per year.C.Company Y will save 5 basis points per year on $10

24、,000,000 = $5,000 per year.D.Company Y will only break even on the deal.18.Company X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are shown below:A swap bank proposes the following interest only swap

25、:X will pay the swap bank annual payments on $10,000,000 with the coupon rate of LIBOR - 0.15%; in exchange the swap bank will pay to company X interest payments on $10,000,000 at a fixed rate of 9.90%. Y will pay the swap bank interest payments on $10,000,000 at a fixed rate of 10.30% and the swap

26、bank will pay Y annual payments on $10,000,000 with the coupon rate of LIBOR - 0.15%.What is the value of this swap to the swap bank?A.The swap bank will lose money on the deal.B.The swap bank will earn 40 basis points per year on $10,000,000 = $40,000 per year.C.The swap bank will break even.D.None

27、 of the above19.Company X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are shown below:A swap bank proposes the following interest only swap: X will pay the swap bank annual payments on $10,000,000 w

28、ith the coupon rate of LIBOR; in exchange the swap bank will pay to company X interest payments on $10,000,000 at a fixed rate of 10.05%. Y will pay the swap bank interest payments on $10,000,000 at a fixed rate of 10.30% and the swap bank will pay Y annual payments on $10,000,000 with the coupon ra

29、te of LIBOR - 0.15%.What is the value of this swap to the swap bank?A.The swap bank will earn 40 basis points per year on $10,000,000 = $40,000 per year.B.The swap bank will earn 10 basis points per year on $10,000,000 = $10,000 per year.C.The swap bank will LOSE money.D.None of the above20.Company

30、X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are shown below:A swap bank is involved and quotes the following rates five-year dollar interest rate swaps at 10.05%-10.45% against LIBOR flat.Assume b

31、oth X and Y agree to the swap banks terms.Fill in the values for A, B, C, D, E, & F on the diagram.A.A = LIBOR; B = 10.45%; C =10.05%; D = LIBOR; E = LIBOR; F = 12%B.A = 10%; B = 10.45%; C =10.05%; D = LIBOR; E = LIBOR; F = LIBOR + 1%C.A = 10%; B = 10.45%; C = LIBOR; D = LIBOR; E = 10.05%; F = LIBOR

32、 + 1%D.A = 10%; B = LIBOR; C = LIBOR; D = 10.45%; E = 10.05%; F = LIBOR + 1%21.Company X wants to borrow $10,000,000 floating for 5 years. Company Y wants to borrow $10,000,000 fixed for 5 years. Their external borrowing opportunities are:Design a mutually beneficial interest only swap for X and Y w

33、ith a notational principal of $10 million by having appropriate values forA = Company Xs external borrowing rateB = Company Ys payment to X (rate)C = Company Xs payment to Y (rate)D = Company Ys external borrowing rateA.A = 10%; B = 11.75%;C = LIBOR - .25%; D = LIBOR + 1.5%B.A = 10%; B = 10%;C = LIB

34、OR - .25%; D = LIBOR + 1.5%C.A = LIBOR; B = 10%;C = LIBOR - .25%; D = 12%D.A = LIBOR; B = LIBOR;C = LIBOR - .25%; D = 12%22.Suppose ABC Investment Banker, Ltd. is quoting swap rates as follows: 7.50 - 7.85 annually against six-month dollar LIBOR for dollars, and 11.00 - 11.30 percent annually agains

35、t six-month dollar LIBOR for British pound sterling. ABC would enter into a $/ currency swap in which: Refer To: 14-21A.it would pay annual fixed-rate dollar payments of 7.5% in return for receiving annual fixed-rate payments at 11.3%B.it will receive annual fixed-rate dollar payments at 7.85% again

36、st paying annual fixed-rate payments at 11%C.a) and b)D.none of the above23.Use the following information to calculate the quality spread differential (QSD):A.0.50%B.1.00%C.1.50%D.2.00%24.Company X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow $10,000,000 fixed for 5 ye

37、ars. Their external borrowing opportunities are shown below:A swap bank is involved and quotes the following rates five-year dollar interest rate swaps at 10.05%-10.45% against LIBOR flat.Assume company Y has agreed, but company X will only agree to the swap if the bank offers better terms.What are

38、the absolute best terms the bank can offer X, given that it already booked Y?A.10.45%-10.45% against LIBOR flat.B.10.45%-10.05% against LIBOR flat.C.10.50%-10.50% against LIBOR flatD.none of the above25.Company X wants to borrow $10,000,000 for 5 years; company Y wants to borrow 5,000,000 for 5 year

39、s. The exchange rate is $2 = 1 and is not expected to change over the next 5 years. Their external borrowing opportunities are shown below:A swap bank proposes the following interest only swap: X will pay the swap bank annual payments on $10,000,000 with the coupon rate of 9.80%; in exchange the swa

40、p bank will pay to company X interest payments on 5,000,000 at a fixed rate of 10.5%. Y will pay the swap bank interest payments on 5,000,000 at a fixed rate of 12.80% and the swap bank will pay Y annual payments on $10,000,000 with the coupon rate of 12%.What is the value of this swap to the swap b

41、ank?A.The swap bank will earn 10 basis points per year; the only risk is default risk.B.The swap bank will earn 10 basis points per year but has exchange rate risk: dollar-denominated income and pound-denominated costs and default risk.C.The swap bank will earn 10 basis points per year but has excha

42、nge rate risk: pound-denominated income and dollar-denominated costs and default risk.D.The swap bank will earn 20 basis points per year in dollars but has exchange rate risk: pound-denominated income and dollar-denominated costs and default risk.26.Swaps are said to offer market completenessA.This

43、means that all types of debt instruments are not regularly available for all borrowers. Thus interest rate swap markets assist in tailoring financing to the type desired by a particular borrower.B.In that the swap market offers price discovery to the market.C.Because you can trade across both curren

44、cies and fixed and floating market segments.D.None of the above27.Consider the dollar- and euro-based borrowing opportunities of companies A and B.A is a U.S.-based MNC with AAA credit; B is an Italian firm with AAA credit. Firm A wants to borrow 1,000,000 for one year and B wants to borrow $2,000,0

45、00 for one year. The spot exchange rate is $2.00 = 1.00 and the one-year forward rate is given by IRP as: . Suppose they agree to the swap shown at right. Is this mutually beneficial swap equally fair to both parties?A.Yes, QSD = 7% - 6% $2.00/1.00 - ($8% - $9%) = $2% + $1% = $3%B.No, company A borr

46、ows at 6% in euro but company B borrows at 8% in dollarsC.Yes, A will be better off by 1% on 1m; B by 1% on $2m and $2.00 = 1.00D.No, company A saves 1% in euro but company B saves only 1% in dollars when the spot exchange rate is $2.00 = 1.00A is twice as better off as B28.A is a U.S.-based MNC wit

47、h AAA credit; B is an Italian firm with AAA credit. Firm A wants to borrow 1,000,000 for one year and B wants to borrow $2,000,000 for one year. The spot exchange rate is $2.00 = 1.00, a swap bank makes the following quotes for 1-year swaps and AAA-rated firms against USD LIBOR:The firms external bo

48、rrowing opportunities are:A.Firm A does 2 swaps with the swap bank, $ at bid and at ask. Firm B does 2 swaps with the swap bank, $ at ask and at bid. Firms A and B would each save 90bp and the swap bank would earn 20bp.B.There is no mutually beneficial swap at these prices.C.Firm A does 2 swaps with

49、 the swap bank, $ at ask and at bid. Firm B does 2 swaps with the swap bank, $ at bid and at ask. Firms A and B would each save 90bp and the swap bank would earn 20bp.D.None of the above29.Consider the dollar- and euro-based borrowing opportunities of companies A and B.A is a U.S.-based MNC with AAA

50、 credit; B is an Italian firm with AAA credit. Firm A wants to borrow 1,000,000 for one year and B wants to borrow $2,000,000 for one year. The spot exchange rate is $2.00 = 1.00 and the one-year forward rate is given by IRP as $2.00(1.08)/1.00(1.06) = $2.0377/1. Is there a mutually beneficial swap?

51、A.No, QSD = 0B.Yes, QSD = 2% = (7% - 6%) - (8% - 9%) = 1% - (-1%)C.Yes, QSD = 7% - 6%$2.00/1.00 - ($8% - $9%) = $2% + $1% = $3%D.Yes, QSD = 7% - 6%- ($8% - $9%)1.00/$2.00= 1%30.Pricing an interest-only single currency swap after inception involvesA.sending a market order to a swap dealer.B.finding t

52、he difference between the present values of the payments streams the party will receive and pay.C.finding the sum of the present values of the payments streams that each party will receive in one currency and pay in the other currency, converted to a common currency.D.none of the above31.Company X w

53、ants to borrow $10,000,000 floating for 5 years; company Y wants to borrow 5,000,000 fixed for 5 years. The exchange rate is $2 = 1 and is not expected to change over the next 5 years. Their external borrowing opportunities are:A swap bank proposes the following interest-only swap: Company X will pa

54、y the swap bank annual payments on $10,000,000 at an interest rate of $9.80%; in exchange the swap bank will pay to company X interest payments on 5,000,000 at a fixed rate of 10.5%. Y will pay the swap bank interest payments on 5,000,000 at a fixed rate of 12.80% and the swap bank will pay Y annual

55、 payments on $10,000,000 with the coupon rate of 12%.If company X takes on the swap, what external actions should they engage in?A.They should borrow $10,000,000 at $10%B.They should borrow 5,000,000 at 10.50% interest-only for five years; translate pounds to dollars at the spot rate.C.They should b

56、orrow 5,000,000 at 10.50% interest-only for five years; translate pounds to dollars at the spot rate; enter long position in a forward contract to buy 5,000,000 in five years.D.None of the above32.Company X wants to borrow $10,000,000 floating for 5 years; company Y wants to borrow 5,000,000 fixed for 5 years. The exchange rate is $2 = 1 and is not expected to change over the next 5 years. Their external borrowing opportunities are:A swap bank wants to design a profitable interes