Which of the following positions results in synthetic fixed-rate debt?

A) A long position in a floating-rate note combined with a pay-fixed interest rate swap.

B) A short position in a floating-rate note combined with a pay-fixed interest rate swap.

C) A long position in a floating-rate note combined with a receive-fixed interest rate swap.

D) A short position in a floating-rate note combined with a receive-fixed interest rate swap.

Which of the following statements about debt is least accurate?

A) To create synthetic fixed-rate debt, the portfolio manager can enter a pay-fixed swap.

B) To create synthetic callable debt from existing noncallable debt, the portfolio manager can enter into a receiver's swaption.

C) To create synthetic dual currency debt, the portfolio manager can issue domestic debt and enter into a fixed-for-fixed currency swap where notional principal is swapped at origination.

D) The all-in-cost is another way of saying "the internal rate of return of a financing alternative."

To create synthetic fixed-rate debt from a floating-rate obligation, a portfolio manager can do which of the following?

A) Pay fixed and receive variable in a swap.

B) Pay variable and receive fixed in a swap.

C) Sell interest rate caps.

D) Buy interest rate floors.

[此贴子已经被管理员于2008-9-18 16:27:05编辑过]

A firm has most of its liabilities in the form of floating-rate notes with a maturity of two years and quarterly reset. The firm is concerned with interest rate movements over the next eight quarters but is not concerned with potential movements after that. Which of the following strategies will allow the firm to hedge the expected change in interest rates?

A) Enter into a 2-year, quarterly pay-fixed, receive-floating swap.

B) Enter into a 2-year, quarterly pay-floating, receive-fixed swap.

C) Buy a swaption that allows the firm to be the fixed-rate payer upon exercise. In other words, go long a payers swaption with a 2-year maturity.

D) Buy a swaption that allows the firm to be the floating-rate payer upon exercise. In other words, go short a payers swaption with a 2-year maturity.

A bank that has made a $6 million floating rate loan at LIBOR plus 240 basis points wishes to convert it to a fixed-rate loan. The bank uses a swap with a fixed rate equal to 6.4 percent, floating rate equal to LIBOR, and notional principal equal to $6 million. If the payments are quarterly, which of the following most closely approximates the quarterly inflows to the bank from the loan and the swap?

A) $132,000.

B) $60,000.

C) $150,000.

D) $88,000.