|
Q6. Currency swap markets consist of transactions in:
A) the forward market only.
B) spot markets only.
C) both spot and forward contracts.
Q7. Consider a swap with a notional principal of $120 million.
Given the above diagrams, which of the following statements is TRUE? At the end of 360 days:
A) A pays B $13.2 million and B pays A $12 million.
B) A pays B $0.6 million.
C) A pays B $1.2 million.
Q8. Consider a $10,000,000 1-year quarterly-pay swap with a fixed rate of 4.5% and a floating rate of 90-day London Interbank Offered Rate (LIBOR) plus 150 basis points. 90-day LIBOR is currently 3% and the current forward rates for the next four quarters are 3.2%, 3.6%, 3.8%, and 4%. If these rates are actually realized, at the termination of the swap the floating-rate payer will:
A) pay $25,000.
B) pay $10,020,000.
C) pay $20,000.
Q9. Consider a swap with a notional principal of $100 million.
Given the above diagrams, which of the following statements is TRUE? At time period 2:
A) B pays A $1 million.
B) A pays B $2 million.
C) A pays B $7 million and B pays A $8 million.
Q10. XYZ company has entered into a "plain-vanilla" interest rate swap on $1,000,000 notional principal. XYZ company pays a fixed rate of 8% on payments that occur at 90-day intervals. Six payments remain with the next one due in exactly 90 days. On the other side of the swap, XYZ company receives payments based on the LIBOR rate. Describe the transaction that occurs between XYZ company and the dealer at the end of the first period if the appropriate LIBOR rate is 8.8%.
A) XYZ company receives $2,000.
B) Dealer receives $2,000.
C) Dealer pays XYZ company $20,000.
| 
发表于 2009-3-2 11:29
| 
