Question：A company wants to borrow $5 million at a fixed rate of interest for three years, but can only raise the finance by borrowing from a bank at LIBOR plus 50 basis points. A bank arranges a three-year plain vanilla swap at a rate of 5.65%, with interest payments exchanged every six months. For a particular interest period of 180 days, the LIBOR reference rate is fixed at 6.0%. What will be the payment under the swap for the period, if the payment is made at the end of the interest period and there are 360 days in the year for the purpose of interest calculations?
A. The company will pay the bank $3,750.
B. The bank will pay the company $8,750.
C. The company will pay the bank $21,250.
D. The company will pay the bank $8,750.
The correct answer is: The bank will pay the company $8,750.
解析：In the swap, the company will pay the fixed rate and receive the floating rate. For the interest period in question, the company will pay 5.65% and receive 6.0%, i.e. it will receive 0.35% net.
The payment will be $5 million x (180/360) x 0.35% = $8,750.
，我們將會(huì)及時(shí)處理。