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Interest Rate Swaps中5.15%的含义是什么?

老师您好,

请问这里的5.15%是怎么哪里来的呢?

谢谢老师

Swaps 2021-11-02 15:23:01

问题来源:

Swaps

Interest Rate Swaps

Currency Swaps

Interest Rate Swaps

A swap is where two counterparties agree to pay each other's interest payments. This may be in the same currency (an interest rate swap) or in different currencies (a currency swap).

A useful approach to adopt in an exam for a swap organised by a bank is to assume - unless told otherwise - that the variable interest rate payment is at LIBOR. This is what normally happens in reality.

Altrak is interested in the idea of using a swap arrangement to create a fixed rate for a long-term loan of $20 million that is also being arranged. The swap will be organized and underwritten by a bank which has found another company (Company A) willing to participate in a swap arrangement; the merchant bank will charge a fee of 0.20% to both companies. Company A is a retailer with low levels of gearing; it has reviewed is balance of existing fixed and variable rate finance and wants to increase its exposure to variable rate finance.

The borrowing rates available to Altrak and to Company A are:

 

Altrak

Company A

Fixed

6.50%

5.55%

Variable

LIBOR + 1.00%

LIBOR + 0.75%

Required

(a) Explain why Alrak wants fixed rate loan at the same time as Company A wants variolate.

(b) Identify whether a swap could be organized to the benefit of both companies.

Alirak could have

Different expectations about the future direction of interest rates.

A different attitude to risk-Alrak's business risk or financial risk could be higher.

Step 1 assess potential for gain from swap

 

Altrak

Company A

Difference

Fixed

6.50%

5.55%

0.95%

Company A cheaper 

Variable

LIBOR + 1.00%

LIBOR + 0.75%

0.25%

Company A cheaper

 

 

 

Difference of differences

= 0.95% - 0.25% = 0.70%

If a swap uses company A's comparative advantage in fixed rate finance, as is suggested here, then a gain of 0.70% (before fees) is available. This falls to 0.70 - (2 × 0.20%) = 0.30% after fees. If this is split evenly it gives a gain of 0.15% to each party.

Step 2- swap, variable rate at LIBOR, designed to splitting gain 50 : 50, ie  0.15% each


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迟老师

2021-11-03 10:18:01 798人浏览

勤奋刻苦的同学,您好:

这里的5.15%是假设出来的,方便后期比较用Swaps好,还是不用Swaps好一些

每个努力学习的小天使都会有收获的,加油!
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