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pengyaning · 2023年10月22日

公式

NO.PZ2023091802000162

问题如下:

Savers Bancorp entered into a swap agreement over a 2-year period on August 9, 2008, with which it received a 4.00% fixed rate and paid LIBOR plus 1.20% on a notional amount of USD 6.5 million. Payments were to be made every 6 months. The table below displays the actual annual 6-month LIBOR rates over the 2-year period. (Practice Exam)

Assuming no default, how much did Savers Bancorp receive on August 9, 2010?

选项:

A.

USD 72,150

B.

USD 78,325

C.

USD 117,325

D.

USD 156,650

解释:

The proper interest rate to use is the 6-month LIBOR rate at February 9, 2010, since it is the 6-month LIBOR that will yield the payoff on August 9, 2010. Therefore the net settlement amount on August 9th, 2010 is as follows:

Savers receives: 6,500,000 * 4.00% * 0.5 years, or USD 130,000

Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5, or USD 51,675.

Therefore Savers would receive the difference, or 78,325.

为什么receive和pay都乘0.5years?

1 个答案

品职答疑小助手雍 · 2023年10月23日

同学你好,因为题目写了每6个月互换一次。

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NO.PZ2023091802000162问题如下 Savers Bancorp enterento a swagreement over a 2-yeperioon August 9, 2008, with whiitreceivea 4.00% fixerate anpaiLIBOR plus 1.20% on a notionamount ofUS6.5 million. Payments were to ma every 6 months. The table below splaysthe actuannu6-month LIBOR rates over the 2-yeperio (PractiExam)Assuming no fault, how muSavers Bancorp receive on August9, 2010? A.US72,150B.US78,325C.US117,325US156,650 The proper interest rate to use is the 6-month LIBOR rate atFebruary 9, 2010, sinit is the 6-month LIBOR thwill yielthe payoff onAugust 9, 2010. Therefore the net settlement amount on August 9th, 2010 is asfollows: Savers receives: 6,500,000 * 4.00% * 0.5years, or US130,000 Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5,or US51,675. Therefore Savers woulreceive the fference,or 78,325. 老师,都是求value,为什么图片的题就是要用到本金,而这道题就不用本金,可以总结成,如果是折现到过去求value的就要用到本金,转化成债券,如果是求现在的value就直接收到和付出做差?

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