DRL 5-1 Quiz: Swaps: A Quantitative E X + X - -> C A learn.snhu.edu/d21/le/content/1027365/viewContent/17771280/View 5-1 Quiz: Swaps: A Quantitative Exercise X Est. Length: 2:00:00 Virginia Herbert: Attempt 1 Page 1: ) Listen 2 3 Consider the following interest rate swap scenario: notional = $10 MM, actual days -- in quarter = 92, annualized floating rate = 2.5400%, and annualized fixed rate = 2.5400%. What is the floating leg payment? 4 5 $62,088.89 $65,0911.89 $64,911.11 O $127,000 Question 4 (4 points) ) Listen Which of the following is true in relation to a fixed rate lender that wishes to transform its position using an interest rate swap? They should enter into a long interest rate swap. O Following the transformation, if the floating rate increases, the lender receives more. O Following the transformation, the fixed rate reception is offset by the pay-fixed leg of the interest rate swap. All of the above Type here to search w] 12:12 PM 81'F Mostly sunny ~ ") 22/04/2022DRL 5-1 Quiz: Swaps: A Quantitative E X + X - -> C A learn.snhu.edu/d21/le/content/1027365/viewContent/17771280/View 5-1 Quiz: Swaps: A Quantitative Exercise X Est. Length: 2:00:00 Virginia Herbert: Attempt 1 Page 1: Question 4 (4 points) 2 3 ) Listen -- Which of the following is true in relation to a fixed rate lender that wishes to 4 5 transform its position using an interest rate swap? They should enter into a long interest rate swap. Following the transformation, if the floating rate increases, the lender receives more. O Following the transformation, the fixed rate reception is offset by the pay-fixed leg of the interest rate swap. All of the above Question 5 (4 points) ) Listen The recovery rate is: the value of the reference asset following the credit event O expressed as a percentage of its face value both a and b none of the above Type here to search w] 12:12 PM 81'F Mostly sunny ~ " ") 22/04/2022DRL 5-1 Quiz: Swaps: A Quantitative E X + X - -> C A learn.snhu.edu/d21/le/content/1027365/viewContent/17771280/View 5-1 Quiz: Swaps: A Quantitative Exercise X Est. Length: 2:00:00 Virginia Herbert: Attempt 1 Page 1: The day count convention that is typically used to calculate the floating leg accrual factor for U.S. interest rate swaps is: 2 3 -- 30/360 4 5 30/365 A/360 A/365 Question 2 (4 points) () Listen To which of the following is the floating payment equal? O annualized floating rate x actual days in the quarter x 360 / notional principal O annualized floating rate / actual days in the quarter x 360 x notional principal O annualized floating rate x actual days in the quarter / 360 x notional principal none of the above Question 3 (4 points) ) Listen Consider the following interest rate swap scenario: notional = $10 MM, actual days in quarter = 92, annualized floating rate = 2.5400%, and annualized fixed rate = 2.5400%. What is the floating leg payment? Type here to search 12:10 PM 81.F Mostly sunny ~ 4) 22/04/2022