开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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)

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 775

    浏览
相关问题

NO.PZ2018113001000048 问题如下 XYZ ha three-yefloating rate loan. In orr to hee the risk of rising interest rates, the company woullike to enter into interest rate swap. The notionprinciple of floating lois $5 million, the rate is Libor+1%. The fixerate of swis 5% anfloating rate is Libor with semiannual payments. The notionprinciple of swis also $5 million. The first net interest payment is: $125,000 $300,000 $150,000 C is correct. 考点Convert between Floating-Rate LoanFixeRate Lo 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。注意一、本题中注意仔细看题干,题干描述的很清晰1. 原文“The notionprinciple of floating lois $5 million, the rate is Libor+1%. ”是在介绍这个浮动利率贷款的信息,利息是libor +1%.2. 原文“The fixerate of swis 5% anfloating rate is Libor with semiannupayments. The notionprinciple of swis also $5 million. ”介绍的是互换的信息,互换中固定端是5%,浮动端是libor,半年支付一次,互换的名义本金是5million二、由于libor是可以直接抵消掉的,所题干中并不需要给出libor具体是多少的信息,而且即便给到了也是干扰信息,是用不到的。 题目并没有给出任何表述去说关于three-yefloating rate loan的利息是多久支付一次的,为什么能够默认是半年期? 就是这种题只要一端没有说期限,另一端说了,默认两端都是按说的那端的支付间隔来算?

2023-02-01 18:25 1 · 回答

NO.PZ2018113001000048 问题如下 XYZ ha three-yefloating rate loan. In orr to hee the risk of rising interest rates, the company woullike to enter into interest rate swap. The notionprinciple of floating lois $5 million, the rate is Libor+1%. The fixerate of swis 5% anfloating rate is Libor with semiannual payments. The notionprinciple of swis also $5 million. The first net interest payment is: $125,000 $300,000 $150,000 C is correct. 考点Convert between Floating-Rate LoanFixeRate Lo 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。注意一、本题中注意仔细看题干,题干描述的很清晰1. 原文“The notionprinciple of floating lois $5 million, the rate is Libor+1%. ”是在介绍这个浮动利率贷款的信息,利息是libor +1%.2. 原文“The fixerate of swis 5% anfloating rate is Libor with semiannupayments. The notionprinciple of swis also $5 million. ”介绍的是互换的信息,互换中固定端是5%,浮动端是libor,半年支付一次,互换的名义本金是5million二、由于libor是可以直接抵消掉的,所题干中并不需要给出libor具体是多少的信息,而且即便给到了也是干扰信息,是用不到的。 5%的fix是半年付,但是对冲的Libor+1%不是半年付的,为什么要加总起来除以2?

2022-11-30 22:10 1 · 回答

NO.PZ2018113001000048问题如下 XYZ ha three-yefloating rate loan. In orr to hee the risk of rising interest rates, the company woullike to enter into interest rate swap. The notionprinciple of floating lois $5 million, the rate is Libor+1%. The fixerate of swis 5% anfloating rate is Libor with semiannual payments. The notionprinciple of swis also $5 million. The first net interest payment is: $125,000 $300,000 $150,000 C is correct. 考点Convert between Floating-Rate LoanFixeRate Lo 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 这道题有两个头寸需要支付浮动利率Liborswap收到Libor+1%,支付5%的固定利率那综合1和2,净头寸=-L+L+1%-5%=-4%但是题目答案说的是-6%,不太明白Net payment= [ -(Libor +1%+5%)+ Libor]*5,000,000*1/2=-$150,000,负号代表支出。

2022-04-07 16:27 1 · 回答

NO.PZ2018113001000048 $300,000 $150,000 C is correct. 考点Convert between Floating-Rate LoanFixeRate Lo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 现金流方向计算都会 但不理解 为什么最后除以2 Libor已经是半年期的了 swap的固定段利率也应该是半年期默认 没必要再除以2啊

2022-03-10 05:59 2 · 回答

NO.PZ2018113001000048 这道题目可以麻烦老师把题干中的关键句拿出来分析一下吗?为什么是这样子的? 我明白要收浮动(LIBOR+1%),付固定(5%)这不就是swap吗 后面是什么意思?为什么又出现lobor

2021-09-21 15:14 1 · 回答