题目
You are given the following information about an interest rate swap:● 2-year term● Semiannual payment● Fixed rate = 6%● Floating rate = LIBOR+50 basis points● Notional principal USD 10 millionCalculate the net coupon exchange for the first period if LIBOR is 5% at the beginning of the period and 5.6% at the end of the period.
选项
A.Fixed-rate payer pays USD0
B.Fixed-rate payer pays USD25,000
C.Fixed-rate payer pays USD50,000
D.Fixed-rate payer receives USD25,000
答案
B
解析
Computational Details for Numerical Answer:● Fixed rate payer pays 6%, therefore, (0.06/2) × 10 million = USD 300,000.● Interest rate swaps have payments in arrears. Floating rate payer pays LIBOR rate at the beginning of period 0.50%, i.e. 5% 0.50% = 5.5%. Therefore the floating rate payment: (0.055/2) × 10 million = USD 275,000.● The net payment of USD 25,000 is paid by the fixed rate payer. 利率是一段时间的概念，比如说我今天存100元，利率5%，一年后的今天能拿到105元，这个5元利息是在今天确定的，也就是说发生在当期期末的利息是由当期期初时点的利率所决定的，那么对于固定利率支付方来说： 付固定利息=(6%)/2×10,000,000=300,000 收浮动利息=(LIBOR＋0.50%)/2×10,000,000=(5%＋0.50%)/2×10,000,000=275,000 所以对于固定利率支付方来说：净支付=300,000－275,000=25,000