Reading 71: Swap Markets and Contracts- LOSb(part 5)～ Q1 840, return, payments, interpret

yanghon

 

LOS b, (Part 5): Calculate and interpret the payments on an equity swap.

Q1. Consider a 1-year quarterly-pay $1,000,000 equity swap based on 90-day London Interbank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0% and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap.

	Q1	Q2	Q3	Q4
LIBOR	3.2%	3.0%	3.4%	3.9%
Index	881	850	892.5	900

At the second settlement date, the equity-return payer in the swap will:

A)   receive $42,687.

B)   receive $43,187.

C)   receive $21,187.

 

Q2. Consider a 1-year quarterly-pay $1,000,000 equity swap based on a fixed rate and an index return. The current fixed rate is 3.0 percent and the index is at 840. Below are the index level at each of the four settlement dates on the swap.

	Q1	Q2	Q3	Q4
Index	881	850	892.5	900

At the first settlement date, the equity-return payer in the swap will pay:

A)   $40,810.

B)   $4,638.

C)   $41,310.

 

Q3. Consider a 1-year quarterly-pay $1,000,000 equity swap based on 90-day London Interbank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0% and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap.

	Q1	Q2	Q3	Q4
LIBOR	3.2%	3.0%	3.4%	3.9%
Index	881	850	892.5	900

At the final settlement date, the equity-return payer will:

A)   receive $16,903.

B)   pay $16,903.

C)   receive $97.

 

erpang8888

a

duo1115

see

newstar0001

see

dullmul

thx

hjl2000

d

kgbvvsscia

thx

itispig

thanks

ray0106

D

julian1983

3sx