国际金融--利率互换和货币互换例题
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微信表情大全CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS
采光标准
1. Alpha and Beta Companies can borrow for a five-year term at the following rates:
Alpha Beta
运动会口号16字Moody’s credit rating Aa Baa
Fixed-rate borrowing cost 10.5% 12.0%
江南采莲Floating-rate borrowing cost LIBOR LIBOR + 1%她生气了
a. Calculate the quality spread differential (QSD).科举
b. Develop an interest rate swap in which both Alpha and Beta have an equal cost savings in their borrowing costs. Assume Alpha desires floating-rate debt and Beta desir
es fixed-rate debt. No swap bank is involved in this transaction.
2. Do problem 1 over again, this time assuming more realistically that a swap bank is involved as an intermediary. Assume the swap bank is quoting five-year dollar interest rate swaps at 10.7% - 10.8% against LIBOR flat.
8. A company bad in the United Kingdom has an Italian subsidiary. The subsidiary generates €25,000,000 a year, received in equivalent miannual installments of €12,500,000. The British company wishes to convert the euro cash flows to pounds twice a year. It plans to engage in a currency swap in order to lock in the exchange rate at which it can convert the euros to pounds. The current exchange rate is €1.5/£. The fixed rate on a plain vanilla currency swap in pounds is 7.5 percent per year, and the fixed rate on a plain vanilla currency swap in euros is 6.5 percent per year.
a. Determine the notional principals in euros and pounds for a swap with miannual payments that will help achieve the objective.
b. Determine the miannual cash flows from this swap.
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