NO.PZ2021061002000055
问题如下:
QWR enters a 5-year interest rate swap in which QWR pays the fixed rate of 3% for the first semiannual period and receives an initial six-month MRR of 2.65%.
Based on the
information above, which of the following statements is true?
选项:
A.Three months after the inception of the trade, QWR
has an MTM loss on the swap, because it owes a net settlement payment
to its counterparty.
Three months after the inception of the trade, QWR
has an MTM gain on
the swap, because after the first known net payment to its counterparty, the
remainder of the future cash flows must have a positive present value from QWR's
perspective.
We do not have enough information to determine whether the swap has a positive or negative value from QWR's perspective after the inception of the trade.
解释:
中文解析
本题考察的是互换在合约期间的value。
互换合约的value由互换两端的利率大小来决定,虽然固定端的利率已知,但是浮动端的利率是随着市场变化而变化的,无法确定下来.
因此我们此时无法判断3个月后,站在QWR的角度上互换的value是正还是负。
这题的A选项应该也是对的吧?因为他要支付3%的利率,收到2.65%的利率,会有一个净支出。是吗?