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wuzx · 2021年09月17日

Receive Libor是在哪步发生的？

  1. FRM I
  2. Financial Markets And Products

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%.

这道理我理解是根据协议公司可以按L+50bp借浮动，而公司实际想借固定，所以发生swap。在swap的步骤是先按L+50bp付浮动再按3.2收固定，还的时候反向操作是L+50BP收浮动，再按3.24付固定。最终成本是0.04%.请问老师我错在那步，答案的Receive Libor是在哪步发生的？

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1 个答案

品职答疑小助手雍 · 2021年09月18日

同学你好，

根据协议公司可以按L+50bp借浮动，而公司实际想借固定，所以发生swap。 对

公司现在已经借了个libor+50bp的浮动（要作为利息付出），想变成借固定那swap就要是付出固定，收浮动的，所以进入的是付出3.24，收到libor的swap。

此时公司要付出的利息是原有的libor+50bp的浮动和3.24%的固定，收到的是libor的浮动。算一下净额就是libor+0.5%+3.24%-libor = 3.74%的付出。

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2023-06-19 22:22 1 · 回答

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