Jun 2012 qn 3: sembilan co

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May 30, 2015 at 3:17 pm #250638
bravostar
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Hi sir, for qn3b, the ans showed this
%impact column: receive yield as “yield”
Why would sembilan receive yield when it is swapping interest with ratus bank? Where does the yield comes from?
May 30, 2015 at 3:58 pm #250664
John Moffat
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Thats the way that a swap is usually settle up – one party pays LIBOR (yield) to the other, and in return the other party pays a fixed rate.
The free lecture on swaps (and the lecture going through question 1 from the June 2014 exam) should help you on this.
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