NO.PZ2023020101000012
问题如下：
Meredith Whitney is a senior consultant in
the Swaps Advisory Group of DCM Capital, an independent advisory firm. Whitney
will be preparing to meet with three clients who need advice on structuring and
implementing a swap program to manage their interest rate exposures. She is
assisted by a junior analyst from the fixed income group, Toni Yang.
For her meetings, Whitney plans to use the
data presented in Exhibit 1 below.
Exhibit
1 Current Term Structure of Rates (%)
Note: Libor is the London Interbank
Offered Rate. Euribor is the Euro Interbank Offered Rate. Hibor is the Hong
Kong Interbank Offered Rate. All rates shown are annualized.
Whitney’s first meeting is with Novatel, a
US based company that currently has an outstanding loan of $250,000,000 that
carries a 5.15% fixed interest rate. Novatel’s managers feel that the current
interest rate on the loan is high and they also believe that interest rates are
poised to decline. Whitney advises Novatel to enter into a one-year pay-floating
Libor receive-fixed interest rate swap with quarterly payments. The notional
principal on the swap will be $250,000,000. Whitney’s first task is to
determine the appropriate swap rate.
Using data in Exhibit 1 and a 30/360 day
count, the annualized fixed rate of the swap recommended by Whitney for Novatel
is closest to：
选项：
A.2.22%.
3.36%.
C.
5.15%.
解释：
The
appropriate present value factors are provided below:
For
example, PV(90) is calculated as follows:
Other
present value factors are calculated in a similar manner.
The
fixed rate is calculated as follows:
The annualized rate =0.008396×360/90=0.033584.
没太搞明白这个操作的实际意义。
公司本身有5.15%固定利率贷款，买一个pay float, receive fixed@3.36% swap. 这个fixed是3.36%与我现在持有的贷款存在价差，我除了支付float之外，还有再去支付5.15-3.36的价差吗？
