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?