单选题
A U. S. bank enters into a plain vanilla currency swap with a notional principal of US $100m (￡ 67m). At each settlement date, the U.S. bank pays a fixed rate of 8 percent on the pounds received, and an English bank pays a variable rate equal to London interbank offered rate (LIBOR) on the U. S. dollars received. Given the following information, what payment is made to whom at the end of year 2?
【正确答案】
C
【答案解析】The U. S. bank pays 8% fixed on ￡ 67m, which makes for an annual payment of ￡ 5.36m.
The variable rate to be used at time period 2 is set at time period 1 (the arrears method).
Therefore, the English bank pays 5.5% times US $100m for a payment of US $5.5m.
The variable rate to be used at time period 2 is set at time period 1 (the arrears method).
Therefore, the English bank pays 5.5% times US $100m for a payment of US $5.5m.