TDK commercial bank makes an adjustable rate mortgage for a big construction customer. Which of the following would be an appropriate position for the bank to hedge its risk with this loan TDK should pay:()
A. fixed to a currency swap counterparty and receive variable.
B. variable to an interest rate swap counterparty and receive fixed.
C. variable to a currency swap counterparty and receive fixed.
参考答案：B
解析：
Variable to an interest rate swap counterparty, and receive fixed. There is no problem for the bank with respect to currencies and, therefore, this should not be a currency swap. The bank’s problem is that as interest rates decrease, the bank’s interest income declines. To offset this loss (to hedge) , the bank needs to win in the swap as interest rates decrease. Therefore, the bank should pay variable and receive fixed in an interest rate swap. The bank has essentially swapped floating rate payments into fixed rate payments.