题目内容
We considered a five-year, annual reset, 30/360 day count, Libor-based swap. The following table provides the present values per €1.Maturity (years) &Present Value Factors1 &0.9900992 &0.9778763 &0.9651364 &0.9515295 &0.937467Assume an annual reset Libor floating-rate bond trading at par. The fixed rate was previously found to be 1.2968%. Given these same data, the fixed interest rate in the EURO STOXX 50 equity swap is closest to:
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A portfolio manager enters into an equity swap with a swap dealer. The portfolio manager agrees to pay the return on the Value Index and receive the return on the Growth Index. The swap’s notional principal is $50 million, and the payments will be made semi-annually. The levels of the equity indices are as follows:Index& Level at Start of Swap& Level Six Months LaterValue Index & ＄5,460 & ＄5,350Growth Index & ＄1,190 & ＄1,200The net amount owed to the portfolio manager after six months is closest to:
When parties exchange fixed cash payments for payments that depend on the returns to a stock or a stock index, they are purchasing a(n):
A dealer has entered into an equity swap as the fixed-rate payer. The swap is based on the returns of the S&P500 index. On the last settlement date, the index fell by 2% due to a significant drop in the value of a few of its component stocks.On the last settlement date, the dealer would have to pay:
Which one of the following statements about swaps is FALSE?
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