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追风少年NKU · 2021年10月13日

swap rate一般指fixed rate?还是?

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 current 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

你好,在investopedia搜了搜swap rate,那里面说一般指fixed,这题里指的应该是浮动,矛盾嘛?
1 个答案

李坏_品职助教 · 2021年10月13日

嗨,爱思考的PZer你好:


我看了一下讲义,还有notes里面关于swap rate的说明,指的应该是浮动利率。建议以notes为准:


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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