NO.PZ2020033002000069
问题如下:
Ace Bank has made a loan of USD 100 million at 5.5% per annum and 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 it will receive LIBOR+50 basis points. Settlement payments are made semiannually. What is the cash flow for Ace Bank on the first settlement date if the mark-to-market value of the loan falls by 1% and LIBOR is 3.5%?
选项:
A. Net outflow of USD 1.75 million
B. Net inflow of USD 2.0 million
C. Net outflow of USD 3.75 million
D. Net inflow of USD 0.25 million
解释:
D is correct.
考点:Swap
解析:
Note that this is a semiannual payment
Ace Bank pays . In return, it gets . The net cash flow is
100*1%,这块计算有问题