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?