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410140980 · 2023年07月20日

swap premium

NO.PZ2020033002000063

问题如下:

Ace Bank has a USD 20 million five-year loan and wants to offset this credit exposure. It found a five-year credit default swap (CDS) with the loan as the reference asset trading at a swap premium of 40 basis points, quarterly paid. Ace Bank should:

选项:

A.

Buys the five-year CDS and makes a quarterly payment of USD 80,000.

B.

Buys the five-year CDS and makes a quarterly payment of USD 20,000.

C.

Sell the five-year CDS and receives a quarterly payment of USD 80,000.

D.

Sells the five-year CDS and receives a quarterly payment of USD 20,000.

解释:

B is correct.

考点:CDS

解析:

Ace Bank should buy the swap to protect against default.

The quarterly payment will be $20M×0.40%4=$20,000\$20\text{M}\times\frac{0.40\%}4=\$20,000.

swap premium 怎么看出是年化的?还是默认的

1 个答案

李坏_品职助教 · 2023年07月20日

嗨,从没放弃的小努力你好:


这个给出的swap premium of 40 basis points默认是yearly,所以要除以4。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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