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李丰丰 · 2020年03月01日

问一道题：NO.PZ2020021204000046 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Suppose that the quotes for a five-year interest rate swap are bid 3.2,ask3.24 a company can borrow at Libor plus 50 basis points but wants to borrow for five years at a fixed rate. What swap should the company enter into? What rate of interest does the company end up borrowing at? (Assume that the spread above Libor at which the company borrows does not change.)

解释：

The company should arrange to pay fixed and receive floating to convert the floating-rate loan to a fixed-rate loan. It will accept the ask quote of 3.24. Its cash flows will be

• Pay 3.24%,

• Receive Libor, and

• Pay Libor + 0.5%.

These net to 3.74%.

您好，请问receive LIBOR是固定的吗？这题从哪得知dealer会给他正好是LIBOR呢？可以receive LIBOR+10bps吗？也就是说在swap的合约中receive和pay的浮动利率必须正好是LIBOR吗？可以是LIBOR+/-xbps吗？我不知道我的意思表达清楚没？😂
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1 个答案

orange品职答疑助手 · 2020年03月02日

同学你好，receive libor是收到浮动的意思。同学你后面的问题我没太懂，我说一下这题的过程，你看看你能不能消除疑问

本题的意思是，这家公司有一笔付浮动利率的贷款，但它不想付浮动利率的，只想付固定利率的，所以它可以通过参加这份利率互换协议达成转换贷款类型的目的。

它可以进入这份利率互换协议，在利率互换协议里面，付固定利率3.24%，收到浮动利率Libor。然后因为它本来的浮动贷款要还的是libor+50bp，所以他把从利率互换里收到的LIbor，再加上自己多付的50bp，去还掉浮动利率贷款了。这样他总共就相当于付出了3.24% + 50 bp的固定利率。

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NO.PZ2020021204000046 问题如下 Suppose ththe quotes for a five-yeinterest rate sware bi3.2,ask3.24 a company cborrow Libor plus 50 basis points but wants to borrow for five years a fixerate. Whswshoulthe company enter into? Whrate of interest es the company enup borrowing at? (Assume ththe spreabove Libor whithe company borrows es not change.)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #464046}span.s1 {color: #4e586a}span.s2 {color: #324569} The company shoularrange to pfixeanreceive floating to convert the floating-rate loto a fixerate loan. It will accept the ask quote of 3.24. Its cash flows will be• P3.24%,• Receive Libor, an PLibor + 0.5%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #463f46}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #484042}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443e44}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #4b4246}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443f46}span.s1 {color: #324569}span.s2 {color: #4c5f}span.s3 {color: #6b554c}span.s4 {color: #0080aa}span.s5 {color: #3a4567}span.s6 {color: #77747b}These net to 3.74%. 助教你好，请问你可以画个小图说明这题浮动利率和固定利率的方向吗？谢谢。

2023-06-19 22:22 1 · 回答

NO.PZ2020021204000046 问题如下 Suppose ththe quotes for a five-yeinterest rate sware bi3.2,ask3.24 a company cborrow Libor plus 50 basis points but wants to borrow for five years a fixerate. Whswshoulthe company enter into? Whrate of interest es the company enup borrowing at? (Assume ththe spreabove Libor whithe company borrows es not change.)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #464046}span.s1 {color: #4e586a}span.s2 {color: #324569} The company shoularrange to pfixeanreceive floating to convert the floating-rate loto a fixerate loan. It will accept the ask quote of 3.24. Its cash flows will be• P3.24%,• Receive Libor, an PLibor + 0.5%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #463f46}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #484042}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443e44}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #4b4246}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443f46}span.s1 {color: #324569}span.s2 {color: #4c5f}span.s3 {color: #6b554c}span.s4 {color: #0080aa}span.s5 {color: #3a4567}span.s6 {color: #77747b}These net to 3.74%.

2022-05-26 01:14 1 · 回答

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2022-05-26 00:48 1 · 回答

NO.PZ2020021204000046 swap合约里面默认收到的浮动就是Libor，不能是Libor +/- 吗？

2022-02-17 10:57 1 · 回答

NO.PZ2020021204000046 这道理我理解是根据协议公司可以按L+50bp借浮动，而公司实际想借固定，所以发生swap。在swap的步骤是先按L+50bp付浮动再按3.2收固定，还的时候反向操作是L+50BP收浮动，再按3.24付固定。最终成本是0.04%.请问老师我错在那步，答案的Receive Libor是在哪步发生的？

2021-09-17 14:46 1 · 回答