NO.PZ2023020101000020
问题如下:
Mbali Ndlovu, a trader on Mafadi’s
derivatives desk, works closely with Fourie to implement solutions for his
clients. Ndlovu receives a request from Fourie to structure an OTC swap
transaction for one of his clients. After reviewing the request, Ndlovu agrees
to be the counterparty for a one-year swap on Tanzanite Resources (Tanzanite)
stock in which the client is seeking to enter into a receive-equity returns and
pay-fixed arrangement. Tanzanite does not pay a dividend. The swap is
structured as a quarterly reset, 30/360 day count, with a notional value of ZAR
5,000,000. The fixed rate is 3.2% annually. Tanzanite has a return of –3.6% for
the first quarter.
The cash flow to Ndlovu after the first quarter of the Tanzanite swap is
closest to:
选项:
A.ZAR219,529.
–ZAR140,471.
C.
ZAR340,000.
解释:
The quarterly interest rate is calculated as [(1 + 3.2%)*(1/4)] – 1 =
0.0079, so the fixed cash flow
Ndlovu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return of
the equity is negative,
so Ndlovu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 from
the Tanzanite return.
Therefore, the net cash flow to Ndlovu is ZAR219,528.77 *(39,528.77 +
180,000.00).
课上都是单利,跟白学了一样