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张书记 · 2022年10月30日

swap rate上涨为何Ace亏钱?

NO.PZ2020033002000048

问题如下:

Ace Bank enters into a four-year interest rate swap with principal of USD 100 million, receiving 5% fixed annually against 12-month LIBOR. If the swap rate increases 100 basis points over the first year, what is the current exposure at the end of year 1?

选项:

A.

USD 1 million

B.

USD 2.78 million

C.

USD 5 million

D.USD 0

解释:

D is correct.

考点:Credit exposure

解析:

Swap rate 上升,Ace bank 是亏钱的,无信用风险敞口

Swap rate 不应该就是固定利率嘛?Ace作为固定的receiver不应该是赚钱的吗?为什么会是亏钱呢?

1 个答案
已采纳答案

pzqa27 · 2022年11月03日

嗨,从没放弃的小努力你好:


ACE是收固定利率,现在固定利率上升了,比如上升到6%了,那么ACE如果新签一份合同可以拿到6%的利息,现在旧合约是5%,所以亏了,这里注意fixe rate 在swap中可不会随行就市上升

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努力的时光都是限量版,加油!

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