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hjk · 2023年03月20日

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

NO.PZ2020021204000045

问题如下:

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

选项:

解释:

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

Receive 3.2%,

Pay 4.2%, and

Pay Libor.

These net to Libor plus 1 %.

 but wants to borrow at a floating rate? 这句话不是代表想要浮动利率吗,为什么公司还要pay float?老师可以详细讲解一下这道题目吗?

1 个答案

李坏_品职助教 · 2023年03月20日

嗨,努力学习的PZer你好:


 but wants to borrow at a floating rate,意思是这个公司是希望按照浮动利率借入资金。


总的来说,这个公司目前可以按照4.2%的固定利率借入资金,但是他真正希望的是把固定利率借贷转为浮动利率的借贷,所以需要进入一个pay float并且receive fixed的利率互换。


本身可以找银行借入4.2%利率的固定利率贷款,然后支付浮动利息,换回固定利息3.2%,最终的借贷利率就是libor + 1%(实现了把4.2%固定利率转为浮动利率的目标)

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