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　　18.    Gamma Industries, Inc. issues an inverse floater with a face value of USD 50,000,000 that pays a semiannual coupon of 11.50% minus LIBOR. Gamma Industries intends to execute an arbitrage strategy and earn a profit by selling the notes, using the proceeds to purchase a bond with a fixed semiannual coupon rate of 6.75% a year, and hedging the risk by entering into an appropriate swap. Gamma Industries receives a quote from a swap dealer with a fixed rate of 5.75% and a floating rate of LIBOR. What would be the most appropriate type of swap Gamma Industries, Inc. should enter into to hedge their risk?
　　A.    Pay-fixed, receive-fixed
　　B.    Pay-floating, receive-fixed swap
　　C.    Pay-fix, receive-floating
　　D.    The risk cannot be hedged with a swap
　　答案：B
　　The company has a floating outflow ofand a fixed inflow of 6.75%. On the outflowis the same as an inflow Pay-floating, Receive-fixed. Gamma Industries is exposed to interest rate fluctuations of LIBOR. Therefore, the appropriate swap would be a pay-floating, receive-fixed swap.
　　答疑：‘The company has a floating outflow ofand a fixed inflow of 6.75%’，本质上：浮动利率方面，公司支付一个负的LIBOR，相当于收取一个正的LIBOR；固定利率方面：公司支付11.50%，收取6.75%，相当于支付4.75%。那么公司需要支付浮动利率，收取固定利率加以对冲，所以选择B。