Assume the spot curve is as shown below. Answer the following questions regarding a swap contract....
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Assume the spot curve is as shown below. Answer the following questions regarding a swap contract. Maturity 2 3 5 Spot Rate 2.70804% 0.50% 1.50% 2.75% 4.00% 4.50% DF 0.9950 0.9707 0.9218 0.8548 0.8025 1 yr Fwd Rate 2.510% 5.896% 7.842% 6.524% a. Calculate the swap rate for the 3 year swap assuming the floating payer pays the 1 year spot rate for each year. b. A borrower of floating rate debt has a loan amount of $200M and pays the 1 year T-Bill rate plus a spread of 50 basis points on the loan. The borrower wants to convert this floating rate debt to fixed rate debt with the 3 year swap contract. What is the actual swap payment (dollar amount) that will change hands in each year for future one year spot rates given below? Take the perspective of the floating rate borrower who wants to pay a fixed rate. Swap Payment @ 1: Enter your answer here Swap Payment @ 2: Enter your answer here Swap Payment @ 3: Enter your answer here Assume the spot curve is as shown below. Answer the following questions regarding a swap contract. Maturity 2 3 5 Spot Rate 2.70804% 0.50% 1.50% 2.75% 4.00% 4.50% DF 0.9950 0.9707 0.9218 0.8548 0.8025 1 yr Fwd Rate 2.510% 5.896% 7.842% 6.524% a. Calculate the swap rate for the 3 year swap assuming the floating payer pays the 1 year spot rate for each year. b. A borrower of floating rate debt has a loan amount of $200M and pays the 1 year T-Bill rate plus a spread of 50 basis points on the loan. The borrower wants to convert this floating rate debt to fixed rate debt with the 3 year swap contract. What is the actual swap payment (dollar amount) that will change hands in each year for future one year spot rates given below? Take the perspective of the floating rate borrower who wants to pay a fixed rate. Swap Payment @ 1: Enter your answer here Swap Payment @ 2: Enter your answer here Swap Payment @ 3: Enter your answer here
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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