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 .
swap premium 怎么看出是年化的?还是默认的