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 . In return, it gets . The net cash flow is
Helman Bank has made a loan of USD 300 million at 6.5% per annum