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大明 · 2020年04月07日

问一道题:NO.PZ2016082406000069 [ FRM II ]

问题如下:

Helman Bank has made a loan of USD 300 million at 6.5% per annum. Helman 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 Helman will receive LIBOR+50 basis points. Settlement payments are made semiannually. What is the cash flow for Helman on the first settlement date if the mark-to-market value of the loan falls by 2% and LIBOR is 4%?

选项:

A.

Net inflow of USD 9.0 million

B.

Net inflow of USD 12.0 million

C.

Net inflow of USD 3.0 million

D.

Net outflow of USD 12.0 million

解释:

ANSWER: C

Note that this is a semiannual payment; hence all annual coupon rates must be divided by 2. Helman pays 300(6.5%/22%)300{(6.5\%/2-2\%)}. In return, it gets 300(4.5%/2)300{(4.5\%/2)}. The net cash flow is 300×(3.25%2.25%)=300×1%=3million300\times\left(3.25\%-2.25\%\right)=300\times1\%=3million

最终的现金流不应该是2.25%-1.25%吗?
1 个答案

小刘_品职助教 · 2020年04月08日

同学你好,

感谢你的提醒,你说的是对的,我们很快修改:-)