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我们 · 2020年05月12日

问一道题：NO.PZ2016082406000069

  1. FRM II
  2. Credit Risk Measurement And Management

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%/2−2%)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

这里题目不是说helman 支付的是6.5%加上mark to market的利率变动吗？可是为什么是6.5%/2-2%呢？为什么不是加呢

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1 个答案

小刘_品职助教 · 2020年05月13日

同学你好，

因为市场的利率变动是负的，题目里写的 the mark-to-market value of the loan falls by 2%

做这种题目尤其要小心哦~

 

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相关问题

NO.PZ2016082406000069 HelmBank hma a loof US300 million 6.5% per annum

2021-04-06 23:50 1 · 回答

老师现金流应该是收-支，2.25%-(3.25%-2%)，支浮动，因为跌了少给2%，感觉应该是这样吧

2020-10-19 15:59 1 · 回答

Net inflow of US12.0 million Net inflow of US3.0 million Net outflow of US12.0 million ANSWER: C Note ththis is a semiannupayment; henall annucoupon rates must vi2. Helmpays 300(6.5%/2−2%)300{(6.5\%/2-2\%)}300(6.5%/2−2%). In return, it gets 300(4.5%/2)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\%=3million300×(3.25%−2.25%)=300×1%=3million最终的现金流不应该是2.25%-1.25%吗？

2020-04-07 23:41 1 · 回答

您好 请问这样解答是否正确？感觉答案没有写资产减值的影响

2018-10-31 08:23 1 · 回答