一点疑问

NO.PZ2020021204000046

问题如下：

Suppose that the quotes for a five-year interest rate swap are bid 3.2,ask3.24 a company can borrow at Libor plus 50 basis points but wants to borrow for five years at a fixed rate. What swap should the company enter into? What rate of interest does the company end up borrowing at? (Assume that the spread above Libor at which the company borrows does not change.)

选项：

解释：

The company should arrange to pay fixed and receive floating to convert the floating-rate loan to a fixed-rate loan. It will accept the ask quote of 3.24. Its cash flows will be

• Pay 3.24%,

• Receive Libor, and

• Pay Libor + 0.5%.

These net to 3.74%.

这里为什么收Libor,而不是收libor+50bp将借款利息全部覆盖？

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1 个答案

李坏_品职助教 · 2024年11月29日

嗨，从没放弃的小努力你好：

这个答案只是举了一个例子，可以通过receive libor来把浮动利率贷款转化为固定利率贷款，对冲掉libor的影响就达成目标了。

如果能在libor的基础上多收50bp那当然更好了。如果是选择题，要选最有利的一项，receive libor + 50bp是更优的选择。

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