Calculating the payments on an interest rate swap Bank A enters into a $1,000,000 quarterly-pay plain...
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Calculating the payments on an interest rate swap Bank A enters into a $1,000,000 quarterly-pay plain vanilla interest rate swap as the fixed-rate payer at a fixed rate of 6% based on a 360-thy year. The floating-rate payer agrees to pay 90-day LIBOR plus a 1% margin; 90-day LIBOR is currently 4%. 90-day LIBOR rates are: 4.5% 90 days from now 5.0% 180 days from now 5.5% 270 days from now 6.0% 360 days from now ● ● ● Calculating the payments on an interest rate swap Bank A enters into a $1,000,000 quarterly-pay plain vanilla interest rate swap as the fixed-rate payer at a fixed rate of 6% based on a 360-thy year. The floating-rate payer agrees to pay 90-day LIBOR plus a 1% margin; 90-day LIBOR is currently 4%. 90-day LIBOR rates are: 4.5% 90 days from now 5.0% 180 days from now 5.5% 270 days from now 6.0% 360 days from now ● ● ●
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To calculate the payments on the interest rate swap we need to determine the fixed and floating paym... View the full answer
Related Book For
Financial Reporting and Analysis
ISBN: 978-1259722653
7th edition
Authors: Lawrence Revsine, Daniel Collins, Bruce Johnson, Fred Mittelstaedt, Leonard Soffer
Posted Date:
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