NO.PZ2018113001000048
问题如下:
XYZ has a three-year floating rate loan. In order to hedge the risk of rising interest rates, the company would like to enter into interest rate swap. The notional principle of floating loan is $5 million, the rate is Libor+1%. The fixed rate of swap is 5% and floating rate is Libor with semiannual payments. The notional principle of swap is also $5 million. The first net interest payment is:
选项:
A.$125,000
B.$300,000
C.$150,000
解释:
C is correct.
考点:Convert between Floating-Rate Loan and Fixed-Rate Loan
解析:
为了对冲利率上升的风险,XYZ应该进入收浮动,付固定的swap,就可以将整个头寸变成付固定利率的loan.
Net payment= [ -(Libor +1%+5%)+ Libor]*5,000,000*1/2=-$150,000,负号代表支出。
其中Libor+1%是浮动利率贷款需要付出的,5%是互换中作为固定端需要支付的。
注意:
一、本题中注意仔细看题干,题干描述的很清晰:
1. 原文“The notional principle of floating loan is $5 million, the rate is Libor+1%. ”是在介绍这个浮动利率贷款的信息,利息是libor +1%.
2. 原文“The fixed rate of swap is 5% and floating rate is Libor with semiannual payments. The notional principle of swap is also $5 million. ”介绍的是互换的信息,互换中固定端是5%,浮动端是libor,半年支付一次,互换的名义本金是5million
二、由于libor是可以直接抵消掉的,所题干中并不需要给出libor具体是多少的信息,而且即便给到了也是干扰信息,是用不到的。
题目并没有给出任何表述去说关于three-year floating rate loan的利息是多久支付一次的,为什么能够默认是半年期? 就是这种题只要一端没有说期限,另一端说了,默认两端都是按说的那端的支付间隔来算?