swap premium

问题如下：

Ace Bank has a USD 20 million five-year loan and wants to offset this credit exposure. It found a five-year credit default swap (CDS) with the loan as the reference asset trading at a swap premium of 40 basis points, quarterly paid. Ace Bank should:

选项：

A.

Buys the five-year CDS and makes a quarterly payment of USD 80,000.

B.

Buys the five-year CDS and makes a quarterly payment of USD 20,000.

C.

Sell the five-year CDS and receives a quarterly payment of USD 80,000.

D.

Sells the five-year CDS and receives a quarterly payment of USD 20,000.

解释：

B is correct.

考点：CDS

解析：

Ace Bank should buy the swap to protect against default.

The quarterly payment will be $\$20\text{M}\times\frac{0.40\%}4=\$20,000$.