单选题
XYZ, Inc. has entered into a "plain-vanilla" interest rate swap on $ 5000000 notional principal. XYZ company pays a fixed rate of 8.5% on payments that occur at 180-day intervals. Platteville Investments, a swap broker, negotiates with another firm, SSP, to take the receive-fixed side of the swap. The floating rate payment is based on LIBOR (currently at 7.2% ). At the time of the next payment (due in exactly 180 days), XYZ company will: A. pay the dealer net payments of $ 65000. B. pay the dealer net payments of $ 32500. C. receive net payments of $ 32500.
【正确答案】
B
【答案解析】 The net payment formula for the fixed-rate payer is: Fixed
Rate Paymentt=(Swap Fixed Rate-LIBORt-1)×(days in
term/360)×Notional Principal If the result is positive, the
fixed-rate payer owes a net payment and if the result is negative, then the
fixed-rate payer receives a net inflow. Note: We are assuming a 360 day year.
Fixed Rate Payment=(0.085-0.072)×(180/360)×5000000=$ 32500.
Since the result is positive, XYZ owes this amount to the dealer, who will
remit to SSP.