FINANCE INTEREST RATE SWAP (LIBOR) 問題! (急!)

[匿名]

2008-05-15 8:21 am

Suppose firms X and Y have been quoted the following investment rates:

Company X:
Fixed rate: 10.8%
Floating rate: LIBOR + 0.3%

Company Y:
Fixed rate: 10%
Floating rate: LIBOR+0.1%

X requires a floating rate investment while Y requires a fixed rate investment. A swap is arranged through a financial intermediary that requires a fee of 0.2% with the remaining benefit divided equally between X and Y. Construct the required swap arrangement.

回答 (1)

Howard

2008-05-19 9:05 pm

✔ 最佳答案

假設X及Y的投資本金相同。

X將資金投資於10.8%的定息產品，然後將該投資賣給中介人A。A自行發售一定息10.2%的投資產品給Y。A可從中獲利0.6%。

Y將資金投資於LIBOR 0.1%的浮息產品，然後將該投資賣給中介人A。A自行發售一浮息 LIBOR 0.5%的投資產品給X。A從中虧損0.4%。

結果
X的10.8%定息產品中介人AY的10.2%定息產品
Y的LIBOR 0.1%浮息產品中介人AX的LIBOR 0.5%浮息產品

整體而言，A可獲利0.2%。
X可在浮息投資產品增加0.2%利潤。(LIBOR 0.3% 變成 LIBOR 0.5%)
Y可在定息投資產品增加0.2%利潤。(10%變成10.2%)

參考: MSc in Finance

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