So, if you checked the Schweser errata, you should realize that they left out a whole example of swap credit risk analysis from the study notes. Anyhow, there’s an example of how to assess credit risk there.
Regarding the example, step 7 states:
Assume a notional principal of $5,000,000. To mark-to-market, we would make a payment of $5,000,000 * 0.002747 = $13,735 and the swap fixed rate would be adjusted (the swap would be re-priced) to around 2.5%.
I understand the $13,735 figure, but does anyone know how they get this 2.5% and additionally, do you think we’d need to know this calculation for the exam?
Thanks in advance!作者: kasinkei 时间: 2013-4-12 21:21
