答案和详解如下： 16．No Errors Printing has entered into a "plain-vanilla" interest rate swap on $1,000,000 notional principal. No Errors receives a fixed rate of 5.5 percent on payments that occur at quarterly intervals. Platteville Investments, a swap broker, negotiates with another firm, Perfect Bid, to take the pay-fixed side of the swap. The floating rate payment is based on LIBOR (currently at 6.0 percent). Because of the current interest rate environment, No Errors expects to pay a net amount at the next settlement date and has created a reserve to cover the cash outlay. At the time of the next payment (due in exactly one quarter), the reserve balance is $1,000. To fulfill its obligations under the swap, No Errors will need approximately how much additional cash? A) $250. B) $0. C) No Errors will receive $250. D) $667. The correct answer was A) The net payment formula for the floating rate payer is: Floating Rate Paymentt = (LIBORt-1 - Swap Fixed Rate) × (# days in term / 360) × Notional Principal If the result is positive, the floating-rate payer owes a net payment and if the result is negative, then the floating-rate payer receives a net inflow. Note: We are assuming a 360 day year. Here, Floating Rate Payment = (0.06 - 0.055) × (90 / 360) × 1,000,000 = $1,250. Since the result is positive, No Errors will pay this amount. Since the reserve balance is $1,000, No Errors needs an additional $250. 17．In a plain vanilla interest rate swap: A) each party pays a fixed rate of interest on a notional amount. B) one party pays a floating rate and the other pays a fixed rate, both based on the notional amount. C) payments equal to the notional principal amount are exchanged at the initiation of the swap. D) each party makes a payment on the settlement dates. The correct answer was B) A plain vanilla swap is a fixed-for-floating swap. 18．A swap in which one party pays a fixed rate, one party pays a floating rate, and only a net payment is made on the settlement dates is referred to as a: A) straight swap. B) currencies swap. C) plain vanilla swap. D) net swap. The correct answer was C) A swap in which one party pays a fixed rate, one party pays a floating rate, and only a net payment is made on the settlement dates is referred to as a plain vanilla swap. 19．Which of the following statements regarding a plain vanilla swap is FALSE? A) The notional principal amounts are exchanged at contract initiation and at the termination of the swap. B) Only a net payment is made on each settlement date. C) One party pays a floating rate and one party pays a fixed rate. D) If interest rates decrease, the swap has a negative value to the fixed rate payer. The correct answer was A) There is no exchange of the principal amount at the initiation or termination of a plain vanilla swap. | 
发表于 2008-4-10 15:45
|