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?