NO.PZ2023040401000071
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:
The fixed interest rate is known, but the floating interest rate varies with the market and cannot be determined.
此题不理解,请老师讲解一下,谢谢。