单选题
DWR Services, Ltd. , arranges a plain vanilla interest rate swap between RWDY Enterprises ( pays fixed) and RED, InC. ( receives fixed). The swap has a notional value of $25000000 and 270 days between payments. LIBOR is currently at 7.0%. If at the time of the next payment (due in exactly 270 days) , RWDY receives net payments of $93750, the swap fixed rate is closest to:
【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 ) × ( number
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. We can manipulate this
equation to read : Swap Fixed Rate = LIBORt-1 + [ ( Fixed Rate
Payment) /( days in term/360 × Notional Principal) ]= 0.07 + ( -93750)/(270/360
× 25000000 ) =0.07-0.005 = 0.065, or 6.5%. (The Fixed Rate payment will
have a negative sign because we are told that RWDY receives a net payment)