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