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宇宙球求 · 2025年07月01日

“Net payment= [ -(Libor +1%+5%)+ Libor]*5,000,000*1/2=?不严谨

NO.PZ2018113001000048

问题如下:

XYZ has a three-year floating rate loan. In order to hedge the risk of rising interest rates, the company would like to enter into interest rate swap. The notional principle of floating loan is $5 million, the rate is Libor+1%. The fixed rate of swap is 5% and floating rate is Libor with semiannual payments. The notional principle of swap is also $5 million. The first net interest payment is:

选项:

A.

$125,000

B.

$300,000

C.

$150,000

解释:

C is correct.

考点:Convert between Floating-Rate Loan and Fixed-Rate Loan

解析:

为了对冲利率上升的风险,XYZ应该进入收浮动,付固定的swap,就可以将整个头寸变成付固定利率的loan.

Net payment= [ -(Libor +1%+5%)+ Libor]*5,000,000*1/2=-$150,000,负号代表支出。

其中Libor+1%是浮动利率贷款需要付出的,5%是互换中作为固定端需要支付的。

注意:

一、本题中注意仔细看题干,题干描述的很清晰:

1. 原文“The notional principle of floating loan is $5 million, the rate is Libor+1%. ”是在介绍这个浮动利率贷款的信息,利息是libor +1%.

2. 原文“The fixed rate of swap is 5% and floating rate is Libor with semiannual payments. The notional principle of swap is also $5 million. ”介绍的是互换的信息,互换中固定端是5%,浮动端是libor,半年支付一次,互换的名义本金是5million

二、由于libor是可以直接抵消掉的,所题干中并不需要给出libor具体是多少的信息,而且即便给到了也是干扰信息,是用不到的。

1-是不是应该[ -(Libor +1%+5%)+ Libor]*1/2】体现每半年计算一次net payment更符合逻辑

2-进入的swap,哪里是看出receive Libor?

1 个答案

李坏_品职助教 · 2025年07月02日

嗨,努力学习的PZer你好:


Net payment= [ -(Libor +1%+5%)+ Libor]*5,000,000*1/2=-$150,000,负号代表支出。

这里已经在最后除以2了啊,体现了semi annual的意思。 你把1/2放在括号里面 或者括号外面,最后求出来的结果是一样的,没有区别。


XYZ has a three-year floating rate loan. In order to hedge the risk of rising interest rates

XYZ 是有浮动利率的贷款,如果未来利率上涨,XYZ需要支付更高的利息。所以XYZ必须用receive floating rate才能对冲这个风险,用swap里面收取的浮动利息去抵消自己的浮动利率贷款。 所以是receive Libor (Libor可看做浮动利率的代表)

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努力的时光都是限量版,加油!

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