首页 | 学习中心 | 注册 登录
返回列表 发帖
Iginla2010

Rank: 2

UID
222248 
帖子
353 
主题
79 
注册时间
2011-7-2 
最后登录
2016-4-18 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 20:07 | 只看该作者

Leveraged Floater Example in CFA book

face, capital, payments, LIBOR
Pg 489 of Volume 5. If says this transaction requires no capital. I can't see how that is the case. You issue a floater that pays 1.5x LIBOR.

Lets say you issue a 100MM issue with payments of LIBOR x 1.5
Then, it says you buy a bond from American Factories with face if 1.5x FP = 1.5x 100MM = 150MM

Where does the 50MM come from?
收藏 分享

cityboy

UID
222290 
帖子
1126 
主题
88 
注册时间
2011-7-2 
最后登录
2016-4-16 
2#
发表于 2011-7-11 20:07 | 只看该作者
To be able to cancel out your LIBOR payments against LIBOR receipts, you need a notional principal of 1.5x100MM.. does this help?

TOP

Analti_Calte

Rank: 2

UID
222289 
帖子
395 
主题
7 
注册时间
2011-7-2 
最后登录
2016-8-30 
3#
发表于 2011-7-11 20:07 | 只看该作者
That is the explaination given in the example as well.

However, the cash proceeds from raising the Floater would not be 150Mn, it would rather be 100mn. This means that either one has to purchase bonds which are in deep discount or borrow more money.

Thus there should be a borrowing cost also involved. I think that has been ignored.

This problem has troubled me a lot but now I've gave up and just memorised it.

TOP

Colum

Rank: 2

UID
222311 
帖子
394 
主题
19 
注册时间
2011-7-2 
最后登录
2016-8-1 
4#
发表于 2011-7-11 20:07 | 只看该作者
In a swap transaction, you never borrow money... you simply pay the net interest payments.. 150M is just a notional amount that the interest payments are based on.

TOP

返回列表