答案和详解如下： 11.Which of the following statements involving a plain vanilla interest rate swap is least accurate? In a plain interest rate swap, the: A) parties generally agree to swap the notional principal. B) parties involved in the swap agreement are called counterparties. C) counterparty that wants variable-rate interest agrees to pay fixed-rate interest and is called the pay-fixed side of the swap. D) counterparty who receives the fixed payment by agreeing to pay variable rate interest is called the receive-fixed side of the swap. The correct answer was A) The notional principal is the dollar amount specified in the swap agreement. The counterparties use the notional principal to determine the amount of the interest payments. They generally do not exchange the notional principal. 12.Which of the following statements about swaps is least accurate? A) Motivations to engage in swaps include reducing transaction costs and maintaining privacy. B) The notional principal is swapped at the beginning of an interest rate swap. C) The notional principal is swapped at the beginning and end of a currency swap. D) A plain vanilla interest rate swap is the exchange of fixed for variable rate interest. The correct answer was B) In interest rate swaps, there is no need to actually exchange the notional amount, since the notional principal swapped is the same for both counterparties and in the same currency units. Net interest is paid by the one who owes it at settlement dates. Explanations for other responses: The reasons given now for using the swap markets are to: reduce transactions costs, avoid costly regulations, and maintain privacy. Historically, there were two basic motivations for swaps: to exploit perceived market inefficiencies and to attempt to obtain cheaper financing. Both of these motivations are based on the concept that the financial markets are inefficient. This fact, unfortunately, is no longer true. Today, the swap markets are mature and offer few arbitrage opportunities. Swap markets are now viewed as being more operationally efficient and a more flexible means of packaging and transforming cash flows than any other method. Currency swaps often occur because of comparative advantage. For example, parties may want to reduce borrowing costs. One firm may have better access to a country’s domestic capital markets than another firm. The U.S. firm (D) may have access to the U.S. capital markets but not the German markets, while the German firm (M) may have access to the German markets but not the U.S. markets. If each firm borrows locally and then exchanges the funds, they will both gain. In a currency swap, interest payments are made without netting. Full interest payments are exchanged at each settlement date. Currency swap counterparties actually exchange notional principal because the motivation of the parties is to receive foreign currency. 13.Consider a U.S. investor who has a portfolio of Australian government bonds that are denominated in Australian dollars. Why would the investor wish to enter into a swap contract? As the: A) Australian dollar increases in value, the interest payments from the Australian bonds translate into fewer U.S. dollars. B) Australian interest rate decreases, the value of the Australian bonds decreases. C) U.S. interest rate decreases, the value of the Australian bonds decreases. D) Australian dollar decreases in value, the interest payments from the Australian bonds translate into fewer U.S. dollars. The correct answer was D) As the Australian dollar decreases in value, the interest payments from the bond (and perhaps the bond’s face value if the bond is at maturity), translate into fewer U.S. dollars, which reduces the interest earned on the Australian bonds. 14.Parties agreeing to swap cash flows are: A) agents. B) dealers. C) swap facilitators. D) counterparties. The correct answer was D) The parties agreeing to swap cash flows are called the counterparties. 15.Jan Jurgen, CFA charterholder, recently accepted a position in the Treasury area of a conservatively managed commercial bank. Jurgen intends to suggest the use of plain-vanilla interest rate swaps at today’s Asset & Liability Management Committee meeting. Jurgen is least correct to argue that the use of interest rate swaps will: A) reduce the exposure from the mismatch between floating rate assets and fixed rate liabilities. B) avoid costly regulations. C) allow more flexibility in packaging cash flows. D) create arbitrage profits by exploiting market inefficiencies. The correct answer was D) Exploiting market inefficiencies is no longer considered a motivation for entering into swap agreements. Historically, there were two basic motivations for swaps, to exploit market inefficiencies and to attempt to obtain cheaper financing. Both were based on the belief that financial markets were inefficient. Today, the swap markets have matured and there are few arbitrage opportunities. The swap markets are considered operationally efficient and flexible. Thus, the main reasons to enter into swap agreements today include: to reduce transaction costs, to avoid costly regulations, and to maintain privacy. | 
发表于 2008-4-10 15:02
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