Consider a commercial bank that is about to make a large variable-rate loan. Which of the following would be an appropriate position for the bank to hedge its risk with this loan Pay:()
A. variable to a currency swap counterparty and receive fixed.
B. variable to an interest rate swap counterparty and receive fixed.
C. fixed to an interest rate swap counterparty and receive variable.
参考答案：B
解析：
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. Floating rate receipts would then offset floating rate payments and the bank would be left with a fixed spread between assets and liabilities.