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CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS
CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS
SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER
SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER
QUESTIONS AND PROBLEMS
QUESTIONS AND PROBLEMS
QUESTIONS
QUESTIONS
1. Describe the difference between a swap broker and a swap dealer.
1. Describe the difference between a swap broker and a swap dealer.
Answer: A swap broker arranges a swap between two counterparties for a fee without taking a risk
Answer: A swap broker arranges a swap between two counterparties for a fee without taking a risk
position in the swap. A swap dealer is a market maker of swaps and assumes a risk position in matching
position in the swap. A swap dealer is a market maker of swaps and assumes a risk position in matching
opposite sides of a swap and in assuring that each counterparty fulfills its contractual obligation to the
opposite sides of a swap and in assuring that each counterparty fulfills its contractual obligation to the
other.
other.
2. What is the necessary condition for a fixed-for-floating interest rate swap to be possible?
2. What is the necessary condition for a fixed-for-floating interest rate swap to be possible?
Answer: For a fixed-for-floating interest rate swap to be possible it is necessary for a quality spread
Answer: For a fixed-for-floating interest rate swap to be possible it is necessary for a quality spread
differential to exist. In general, tdheef ault-risk premium of the fixed-rate debt will be larger than the
differential to exist. In general, tdheef ault-risk premium of the fixed-rate debt will be larger than the
default-risk premium of the floating-rate debt.
default-risk premium of the floating-rate debt.
3. Discuss the basic motivations f
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