"Derivative"exercise:swap

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Questions 1:

Which of the following derivatives is least likely to be classified as a contingent claim?

A、 A futures contract

B 、A call option contract

C、 A credit default swap

Questions 2:

A corporation issues five-year fixed-rate bonds. Its treasurer expects interest rates to decline for all maturities for at least the next year. She enters into a one-year agreement with a bank to receive quarterly fixed-rate payments and to make payments based on floating rates benchmarked on three-month Libor. This agreement is best described as a:

A、 futures contract.

B 、forward contract.

C、 swap.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. A futures contract is classified as a forward commitment in which the buyer undertakes to purchase the underlying asset from the seller at a later date and at a price agreed on by the two parties when the contract is initiated.

B is incorrect. A call option contract is a contingent claim in which the buyer of the option has a right to purchase the underlying asset at a fixed price on or before a prespecified expiration date.

C is incorrect. A credit default swap is a contingent claim in which the credit protection seller provides protection to the credit protection buyer against the credit risk of a third party.

【Answer to question 2】C

【analysis】

C is correct. A swap is a series of forward payments. Specifically, a swap is an agreement between two parties to exchange a series of future cash flows. The corporation receives fixed interest rate payments and makes variable interest rate payments. Given that the contract is for one year and the floating rate is based on three-month Libor, at least four payments will be made during the year.

A is incorrect. A forward contract includes one payment only. The swap described has a series of four quarterly payments.

B is incorrect. The instrument described is a swap.

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