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 The U. S. bank pays: ()
A. US $5.5m and the English bank pays ￡ 5.36m.
B. US $6m and the English bank pays ￡ 5.36m.
C. ￡ 5.36m and the English bank pays US $5.5m.
参考答案：C
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.