FRM真题在备考中起着至关重要的作用，广大考生千万不能忽视，尤其是近几年的FRM真题练习。下面是小编列举的相关真题解析，希望对你有所帮助！
RiskAverse Bank (RAB) has made a loan of USD 100 million at 8% per annum. RAB wants to enter into a total return swap under which it will pay the interest on the loan plus the change in the mark-to-market value of the loan and in exchange, RAB will get LIBOR 30bps. Settlement payments are made annually.》》2021年新版FRM一二级内部资料免费领取！【精华版】
What is the cash flow for RAB on the first settlement data if the mark-to-market value of the loan falls by 2% and LIBOR is 6%?
A) Net inflow of USD 0.3 million
B) Net outflow of USD 0.3 million
C) Net inflow of USD 1.7 million
D) Net outflow of USD 1.7 million
答案：A
解析：At the end of the first year, RAB will earn 8 million USD interest on the loan. The loan value declined by 2 million USD, thus the return earned by RAB is 6 million USD; this is the payment made by RAB. RAB will get LIBOR 30bps = 6% 0.3% = 6.3%, that is 6.3 million USD. So there is a net inflow of 0.3 million.
Bank One has made a $200 million loan to a software company at a fixed rate of 12 percent. The bank wants to hedge its exposure by entering into a Total Return Swap with a counterparty, Interloan Co., in which Bank One promises to pay the interest on the loan plus the change in the market value of the loan in exchange for LIBOR plus 40 basis points. If after one year, the market value of the loan has decreased by 3 percent and LIBOR is 11 percent, what will be the net obligation of Bank One?
A) Net receipt of $4.8 million
B) Net payment of $4.8 million
C) Net receipt of $5.2 million
D) Net payment of $5.2 million
答案：A
解析：Bank One would be due: ($200 million)(0.11×0.0040)= $22.8 million and would owe: ($200 million)(0.12)+($200 million)(-0.03)= $18.0 million The net obligation of Bank One would be $22.8 million – S18 million = $4.8 million.
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