(23–1)

Zhao Automotive issues fixed-rate debt at a rate of 7.00%. Zhao agrees to an interest rate
swap in which it pays LIBOR to Lee Financial and Lee pays 6.8% to Zhao. What is Zhao’s
resulting net payment?
Jawaban :
Payment to Lender = 7%
Fixed Payment from counterparty = 6.8%
Net Payment = LIBOR + Payment to Lender – Fixed Payment from counterparty
Net Payment = LIBOR + 7% - 6.8%
Ner Payment = LIBOR + 0.2%

(23–2)
A Treasury bond futures contract has a settlement price of 89’08. What is the implied annual
yield?

(23–5)
The Zinn Company plans to issue $10,000,000 of 20-year bonds in June to help finance a
new research and development laboratory. The bonds will pay interest semiannually. It is
now November, and the current cost of debt to the high-risk biotech company is 11%.
However, the firm’s financial manager is concerned that interest rates will climb even higher
in coming months. The following data are available:
Futures Prices: Treasury Bonds—$100,000; Pts. 32nds of 100%
Delivery Open High Low Settle Change Open
Month (2) (3) (4) (5) (6) Interest
(1) (7)
Dec 95’17 95’13 94’22 95’05 +0’07 591,944
Mar 96’03 96’03 95’13 95’25 +0’08 120,353
June 95’03 95’17 95’03 95’17 +0’08 13,597

a. Use the given data to create a hedge against rising interest rates.
b. Assume that interest rates in general increase by 200 basis points. How well did your
hedge perform?
c. What is a perfect hedge? Are any real-world hedges perfect? Explain.