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幸运是努力带来的 · 2021年11月08日

答案错了

  1. FRM II
  2. Credit Risk Measurement And Management

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 100(5.5%/2−1%)100{(5.5\%/2-1\%)}. In return, it gets 100(4.0%/2)100{(4.0\%/2)}. The net cash flow is 100×(2%−1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million

100*1%，这块计算有问题

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1 个答案

DD仔_品职助教 · 2021年11月08日

嗨，爱思考的PZer你好：


中间计算这一步是有些问题 100*（2%-1.75%）=100*0.25%=0.25 答案是对的

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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