国际金融--利率互换和货币互换例题(1页).doc

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1、-CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS1. Alpha and Beta Companies can borrow for a five-year term at the following rates: AlphaBetaMoodys credit ratingAaBaaFixed-rate borrowing cost10.5%12.0%Floating-rate borrowing costLIBORLIBOR + 1%a. Calculate the quality spread differential (QSD).b. Develo

2、p 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 desires fixed-rate debt. No swap bank is involved in this transaction.2. Do problem 1 over again, this time assuming more realistically that a sw

3、ap 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 based in the United Kingdom has an Italian subsidiary. The subsidiary generates 25,000,000 a year, received in equivalent semiannual installme

4、nts 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

5、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 semiannual payments that will help achieve the objective.b. Determine the semiannual cash flows from this swap.-第 1 页-