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发表于 2008-9-16 15:04 | 只看该作者

Reading 35: Swaps－LOS a

valuation, interest, contrast
CFA Institute Area 8-11, 13: Asset Valuation
Session 11: Alternative Investments for Portfolio Management
Reading 35: Swaps
LOS a: Compare and contrast commodity swaps with interest rate swaps, based on their valuation, settlement, and seasonality.
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tycoon

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2#
发表于 2008-9-16 15:05 | 只看该作者

In the cases of commodity and interest rate swaps, which of the following statements is least accurate?

A)The notional principal of a commodity swap would not be denominated in a currency.
B)
Commodity swaps are only settled at the expiration of the swap and do not have reset periods during the tenor.
C)The notional principal of an interest rate swap would be denominated in a currency.
D)The swap price and swap rate of commodity swaps and interest rate swaps, respectively, are both weighted averages of values from futures and forward contracts.

Answer and Explanation

The settlement of an interest rate swap is based on a currency denominated notional principal times the difference in the interest rate and swap rate. The settlement of a commodity swap is based on a number of units of the commodity times the difference in the swap price and the market price. Both the swap rate and the swap price are weighted averages based upon futures prices (in the case of the commodity swap) and forward rates (in the case of the interest rate swap).

[此贴子已经被作者于2008-9-18 17:00:53编辑过]

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tycoon

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3#
发表于 2008-9-16 15:08 | 只看该作者

With respect to commodity swaps and interest rate swaps, if all interest rates undergo a simultaneous shift, which swaps change the market value will be affected?

A)Commodity swaps only.
B)
Both commodity swaps and interest rate swaps.
C)Interest rate swaps.
D)Neither commodity swaps nor interest rate swaps.

Answer and Explanation

The market value of a swap equals the discounted cash flows from a swap that has been fully hedged with futures contracts. If all interest rates change, then the discount rate will change for both swaps, and this will change the market value of the swaps. Since a change in the interest rates will also change the cash flows of the hedged interest rate swap, the affect will probably be greater for the interest rate swap.

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tycoon

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4#
发表于 2008-9-16 15:09 | 只看该作者

To accommodate the seasonality of commodity markets, commodity swaps can incorporate:

A)only notional principals that vary with the seasons.
B)only swap prices that vary with the seasons.
C)
notional principals and swap prices that vary with the seasons.
D)no seasonal factors because they are proscribed by law.

Answer and Explanation

Commodity demand, supply and prices can be seasonal. For a swap with more than one settlement per year (e.g., semiannual) the counterparties can elect to incorporate varying notional principals and prices into the commodity swap contract. In the case of oil, there might be one pair of values for the notional principal and swap price for winter and one pair of values for summer.

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