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临江仙 · 2021年04月06日

半年交割一次,但是贷款是一年才付息啊,那半年的时候理论上贷款的利息应该是应收,但没有到账

NO.PZ2016082406000069

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

Helman Bank has made a loan of USD 300 million at 6.5% per annum

1 个答案
已采纳答案

袁园_品职助教 · 2021年04月07日

同学你好!

第一句话的per annum只是告诉你年利率,并没有说贷款是一年才付息

另外,题目中说了Settlement payments are made semiannually