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:
A．
| A. 6.625%. |
B．
| B. 6.500%. |
C．
| C. 7.500%. |
参考答案：B
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)