标题: Inverse floater created from support tranche? [打印本页] 作者: anshultongia 时间: 2011-7-13 13:04 标题: Inverse floater created from support tranche?
I heard that the last year exam has a item set about inverse floater created from support tranche but I don't see it anywhere in this year's Schweser' books. Is it removed from this year's curriculum?
Also for people who study in CFAI texts, do you notice any "big fish" that Schweser forgot?
Thanks!作者: Pegasus2008 时间: 2011-7-13 13:04
It is in this years curriculum.作者: sameeragarwal 时间: 2011-7-13 13:04
there was one question with inverse floater as one of the answer choices...作者: xilinx_altera 时间: 2011-7-13 13:04
inverse floater on a support tranche, eh? sounds like a @#$%&... hopefully all the variables spoon fed, and problems straight forward if something like that comes up again作者: ninja1024 时间: 2011-7-13 13:04
This is how you calculate the cap on an inverse floater from a support tranche.
Let's say you have a support tranche of $500,000 notional principle that gets a 6% fixed interest rate.
Let's also assume you split the tranche up into a $450,000 floater tranche of LIBOR + 1% and another separate tranche of the remaining principal, $50,000, and let's say you need to calculate this interest rate.
How do you do it? First take a deep breath. It's really easy folks. Finquiz had a question on it. Just use simple algebra...and no, I did not get it right, but I will from here on out!
Consider this: the weighted interest rate of the floater + the weighted interest rate of the inverse floater = 6% x $500,000
