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lynn666 · 2023年05月01日

对IRS的理解

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 credit 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

IRS是支固定收浮动吗? 那企业的敞口不是应该是二者的差值吗?为啥swap rate也就是固定利率上升了就直接确定亏损,0敞口了呢?不是应该考虑上升之后和收到的浮动之间的差额吗?

1 个答案

pzqa27 · 2023年05月03日

嗨,爱思考的PZer你好:


题目原话“receiving 5% fixed annually against 12-month LIBOR”,意思是这个人是收到固定利率,支付浮动利率,现在swap rate 上升,我们知道swap rate 就是那个固定利率上升,可是我们swap合约是期初就签订好的,比如我们期初签订收到5%的固定利率,哪怕之后swap rate 上升到50%,我们也只能收到5%的固定利率,因此我们是亏损的,因为本来我们现在应该收50%,但却只能收5%。

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