Exactly one year agao, GlobeCorp entered into a 3 year payer interest rate swap with semiannual floating rate payments based on LIBOR and semmiannual fixed rate payments based on annual rate of 2.75%. At initiation, the value of swap was 0. The cunterparty is NVS Bank. The current LIBOR term structure is L(90)=2.25%, L(180)=2.45%, L(270)=3.2%, L(360)=3.75%, L(450)=4.2%, L(540)=3.8%, L(630)=3.1%, L(720)=2.40%.
Question: Which of the following statements regarding the GlobeCorp swap initiated one year ago is most likely correct?
A. NVS Bank has greater current credit risk than GlobeCorp.
B. The value of the swap to GlobeCorp has increased since initiation.
C. GlobeCorp's upcoming payment will be lower than its previous payment.
Why the correct answer is A? Why not B?
Thanks!作者: apf陈老师 时间: 2013-9-12 11:49
这道题目的本质就是在考一个三年的swap过了一年之后的价值计算。
swap现在还有两年到期，分别算出在这个时刻固定利率债券的价值和浮动利率债券的价值。因为正好是在利率reset day，所以浮动利率债券价值就是1，我计算出来的固定利率债券的价值是1.006343，固定利率债券的价值高于浮动的，相当于付浮动利率的一方价值为正，而付固定利率的一方价值为负。G作为固定利率的payer方，价值为负，所以它的counterparty，即银行会面临credit risk。而且The value of the swap to GlobeCorp 是下降的（由0变为负）。
