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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年09月16日

fixed rate, LIBOR都去年化,为何market value increase 1%不用去年化?

NO.PZ2020033002000069

问题如下:

Ace Bank has made a loan of USD 100 million at 5.5% per annum and enters into a total return swap under which it will pay the interest on the loan plus the change in the marked-to-market value of the loan, and in exchange it will receive LIBOR+50 basis points. Settlement payments are made semiannually. What is the cash flow for Ace Bank on the first settlement date if the mark-to-market value of the loan falls by 1% and LIBOR is 3.5%?

选项:

A.

Net outflow of USD 1.75 million

B.

Net inflow of USD 2.0 million

C.

Net outflow of USD 3.75 million

D.

Net inflow of USD 0.25 million

解释:

D is correct.

考点:Swap

解析:

Note that this is a semiannual payment

Ace Bank pays 100(5.5%/21%)100{(5.5\%/2-1\%)}. In return, it gets 100(4.0%/2)100{(4.0\%/2)}. The net cash flow is 100×(2%1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million

fixed rate 5.5%, LIBOR 3.5%都去年化,为何market value increase 1%不用去年化?

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李坏_品职助教 · 2023年09月16日

嗨,努力学习的PZer你好:


题目说ACE银行这个swap,是pay interest plus the change in the marked-to-market value of the loan,就是需要支付固定利息+贷款价值变化率,价值变化率本身指的就是这段时期(从开始到第一个结算日期间)的变化率,不是年化的,不需要去年化。

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努力的时光都是限量版,加油!

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