NO.PZ2023091802000162
问题如下：
Savers Bancorp entered
into a swap agreement over a 2-year period on August 9, 2008, with which it
received a 4.00% fixed rate and paid LIBOR plus 1.20% on a notional amount of
USD 6.5 million. Payments were to be made every 6 months. The table below displays
the actual annual 6-month LIBOR rates over the 2-year period. (Practice Exam)
Assuming no default, how much did Savers Bancorp receive on August 9, 2010?
选项：
A.USD 72,150
B.USD 78,325
C.USD 117,325
D.USD 156,650
解释：
The proper interest rate to use is the 6-month LIBOR rate at
February 9, 2010, since it is the 6-month LIBOR that will yield the payoff on
August 9, 2010. Therefore the net settlement amount on August 9th, 2010 is as
follows:
Savers receives: 6,500,000 * 4.00% * 0.5
years, or USD 130,000
Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5,
or USD 51,675.
Therefore Savers would receive the difference,
or 78,325.
如题
