题目
A company wants to borrow $10 million for 90 days starting in one year. To hedge the interest rate risk of the future borrowing, the company enters into a forward rate agreement (FRA) where the company will pay a fixed rate, R(k), of 5.0%. The FRA cash settles in one year; i.e., in advance (T=1.0) not in arrears (T=1.25). All rates are expressed with quarterly compounding. If the actual 90-day LIBOR observed one year forward turns out to be 6.0%, what is the cash flow settlement by the company under the FRA?
选项
A.Company pays $24,631
B.Company pays $25,000
C.Company receives $24,631
D.Company receives $25,000
答案
C
解析
The payoff to the company =$10 MM×(6.0%－5.0%)×0.25=$25,000; i.e., if LIBOR goes up, the company borrowing cost will increase but the FRA will hedge by paying the company. But the FRA settles at T = 1.0, such that payoff =$25,000/(1＋6.0%×0.25)=$24,631公司的收益= 10MM×(6.0% - 5.0%)×0.25= 2.5万美元；如果LIBOR上升，理论上公司的借贷成本将上升，但进入FRA支付固定利息，在结算时是产生收益的。FRA在T = 1.0时，收益=$25,000/(1＋6.0%×0.25)=$24,631