NO.PZ2020033003000109
问题如下：
Ace, a Hedge Fund plans to enter into a $50 million total return swap on the S&P 500 Index as the index receiver (i.e., total return receiver). The counterparty (i.e., total return payer) will receive 1-year LIBOR + 300bp. The contract will last two years and will exchange cash flows annually. The current LIBOR is 2% now and is assumed to remain flat in the next two years. Current S&P 500 value is 2,000 and is expected to reach 2,200 in one year then drop to 1,980 in two years. What are the cash flows to the Ace in one year and in two years, respectively?
选项：
解释：
D is correct.
考点：Total return swap.
解析：
In one year, the S&P 500 Index will increase by 10%. Ace will receive $5 million from the index payer and will pay $5 million (LIBOR =2% + 300bp) to the counterparty. Therefore, the net cash flow will be +0 million.
Between years 1 and 2, the S&P 500 Index will drop 10%. Ace, as the total return receiver must pay 10%, $5 million to the counterparty in addition to the $5 million (LIBOR =2% + 300bp). Hence, the total outflow from Ace to the counterparty is $10 million.
第一个时间节点和第二个时间节点
