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tristabo · 2024年05月23日

Pay 6 month libor

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000020

问题如下：

In an FRA, an annualized rate of 3% will be received and six-month LIBOR will be paid on a principal of USD 5,000,000 for a six-month period starting in 18 months. If the annualized six-month forward rate in 18 months proves to be 3.5%, what is the settlement on the FRA? When is it made?

选项：

解释：

The USD settlement in 18 months is

((0.03 - 0.035) X 0.5 X 5,000,000)/(1 + 0.035 /2 )= -12285

It is settled in 18 months.

6 month libor is paid为什么不是borrow那一方，而变成了lend 那一方，记得老师说receive rate是lend那一方

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1 个答案

品职答疑小助手雍 · 2024年05月24日

同学你好，这个题说的是：18个月后你以3%的年利率借给别人（半年时间）钱，过了18个月市场利率是3.5%（获得资金的成本），也就是这笔交易你借给别人钱的利率比市场还便宜0.5%，这意味着签这个FRA使你亏了0.5%的利息，所以是负数。

收LIBOR原本是3%，但是利息涨到了3.5%跟我也没啥关系还是只能收3%，相当于我亏了0.5%。

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