为什么不用2.66%

问题如下：

The treasurer of a large manufacturing company has decided to hedge against rising interest rates. The treasurer wants to enter into a 2-year fixed-for-floating swap with a notional of USD 100 million, a fixed annual interest rate of 2.75%, semi-annual payments, and a floating interest rate of 6-month SOFR plus 30 bps, starting in January of Year 1. The treasurer uses the following forecast of future 6-month SOFR rates:

Which of the following is the best estimate of the net cash flow that the treasurer expects for the company to receive at the end of year 2?

选项：

A.

USD −125,000

B.

USD −25,000

C.

USD 125,000

D.

USD 265,000

解释：

C is correct. The company is hedging against rising interest rates, that means the company wants to pay at the fixed rate.

Cash flow_i = notional * (floating rate_i − fixed rate) * length of period

Cash flow at end of year 2 = 100,000,000 * (2.7% + 30/10,000 − 2.75%) * 0.5 = 125,000

A is incorrect. This would be the cash flow if the company pays floating and receives fixed.

B is incorrect. This omits the 30 bps spread from the calculations.

D is incorrect. This is the sum of net cash flows over 2 years.