Reading 63: Swap Markets and Contracts-LOS f 习题精选 2011, difference, including, interpret, between

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Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 63: Swap Markets and Contracts

LOS f: Explain and interpret the characteristics and uses of swaptions, including the difference between payer and receiver swaptions.

 

 

A payer swaption gives its holder:

A) an obligation to enter a swap in the future as the fixed-rate payer.

B) the right to enter a swap in the future as the fixed-rate payer.

C) the right to enter a swap in the future as the floating-rate payer.

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A payer swaption give its holder the right to enter a swap in the future as the fixed-rate payer.

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The writer of a receiver swaption has:

A) the right to enter a swap in the future as the floating-rate payer.

B) an obligation to enter a swap in the future as the fixed-rate payer.

C) an obligation to enter a swap in the future as the floating-rate payer.

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A receiver swaption gives its owner the right to receive fixed, the writer has an obligation to pay fixed.

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Mark Roberts anticipates utilizing a floating rate line of credit in 90 days to purchase $10 million of raw materials. To get protection against any increase in the expected London Interbank Offered Rate (LIBOR) yield curve, Roberts should:

A) buy a receiver swaption.

B) write a receiver swaption.

C) buy a payer swaption.

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A payer swaption will give Roberts the right to pay a fixed rate below market if rates rise.

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An investor who anticipates the need to exit a pay-fixed interest rate swap prior to expiration might:

A) buy a payer swaption.

B) buy a receiver swaption.

C) sell a payer swaption.

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A receiver swaption will, if exercised, provide a fixed payment to offset the investor’s fixed obligation, and allow him to pay floating rates if they decrease.

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Which of the following statements regarding swaptions is least accurate? A swaption is often used to:

A) hedge the rate on an anticipated swap transaction.

B) provide the right to terminate a swap.

C) create a synthetic bond position.

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A swaption is like an option on a bond with payments equal to the fixed payments on the swap. The others are common uses of swaps.

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Which of the following is least likely to be a use of a swaption?

A) Hedging the risk of a current fixed-rate commitment.

B) Exiting an offsetting swap at the exercise date.

C) Hedging the risk of an anticipated floating-rate obligation.

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Swaptions will not be a good hedge for a current obligation since the swaption is for a swap in the future.

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Wanda Brunner, CFA, is contemplating adding a swaption to her portfolio. Which of the following is least likely her goal?

A) interest rate speculation.

B) provide short-term liquidity.

C) lock in a fixed rate.

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The three primary uses of swaptions are to lock in a fixed rate, interest rate speculation, and swap termination.

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