题目
Company A can borrow at a fixed rate of 6.0% and a floating rate of LIBOR + 1.0%; but Company A wants to borrow at a floating rate. Company B, which represents a higher credit risk, can borrow at a fixed rate of 8.0% and a floating rate of LIBOR + 2.0%; but Company B wants to borrow at a fixed rate. An investment bank is willing to act as a swap intermediary but will require a net payment of 20 basis points (0.2%) per annum. If the designed swap is equally attractive to both companies, what is Company B’s swap trade with the investment bank; i.e., the swap trade only, not including the underlying borrowing?
选项
A.Company B pays 5.1% fixed and receives (floating) LIBOR (swap only)
B.Company B pays 5.6% fixed and receives (floating) LIBOR (swap only)
C.Company B pays 7.6% fixed and receives (floating) LIBOR (swap only)
D.Company B pays 8.0% fixed and receives (floating) LIBOR (swap only)
答案
B
解析
The total mutual benefit =(8%-6%)-([L＋2%]-[L＋1%])=1.0%. As the investment bank nets 20 basis point, an equally attractive swap will net each company =(1.0%-0.2%)/2=0.40% (40 bps).总收益=(8%－6%)－([L＋2%]－[L＋1%])=1.0%.投资银行收取20个基点, 所以对于互换双方来说各节约=(1.0%－0.2%)/2=0.40% (40 bps).