NO.PZ2019052801000033
问题如下:
Consider the following 6×9 FRA, Assume the buyer of the FRA agrees to a contract rate of 6.35% on a notional amount of 10 million USD. Assume a 30/360 day count basis. What is the settlement amount of the seller if the settlement rate is 6.85%?
选项:
A.
-$12,290.
B.
$12,290.
C.
-$12,500.
D.
$12,500.
解释:
A is correct.
考点:Forward Rate Agreement
解析:
这里要注意一个陷阱,因为题目最后问的是seller,所以应该是-12,290。
老师好,buyer就是lender,交割日收到一个利率,seller就是borrower,交割日支付一个利率。合约约定的是6.35%,然后又有一个settlement rate 6.85%我就有点儿晕了,6.85%是交割利率,那哪个是市场利率?
我以为6.35是约定利率,6.85是市场利率,那么对于seller来说,借款执行6.35%,市场是-6.85%,所以我用(-6.35+6.85),seller赚0.5%。