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
此题正常如何计算敞口呢?swap rate上升是什么意思?代表公式中什么变化了?为什么说亏钱了呢?烦请从公式角度计算一下,谢谢。听完课但是还是不知道怎么计算。另外,swap rate到底是哪个利率呢?从一级就没有明白。