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Ciser · 2021年04月10日

老师我是分不清到底是原来的loan是付出libor还是libor+1%

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

然后swap是收到的是Libor还是libor+1%,题目表述的不清楚
1 个答案

Hertz_品职助教 · 2021年04月10日

嗨,从没放弃的小努力你好:


同学你好~

我看了一下题目,这笔浮动利率贷款的利率乍一看的确很容易混淆。

但根据 句号 仔细来看,可以知道这笔loan的利率是Libor+1%,而swap中浮动端是Libor.

题干中第二句话是:“The notional principle of floating loan is $5 million, the rate is Libor+1%.”。咱们看这句话的前半句是说这笔浮动贷款的本金是5million,后半句紧接着说其利率是Libor+1%。

第三句话“The fixed rate of swap is 5% and floating rate is Libor with semiannual payments.”。这句话是介绍swap的,说swap中固定端是5%,浮动端是Libor。下面一句“The notional principle of swap is also $5 million”是紧接着swap说的,因此是说swap的名义本金也是5million。

(如有疑问,欢迎追问)

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