On December 15 XYZ enters into $50 million NP swap with ABSwaps. Payments will be on...

 

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On December 15 XYZ enters into $50 million NP swap with ABSwaps. Payments will be on 15th of March, June, September, December for one year. XYZ will pay 7.5% fixed to ABSwaps, and ABSwaps will pay LIBOR to XYZ. The payment is determined by 3-month LIBOR at the beginning of the settlement period (advanced set, settled in arrears). Interest is based on actual day count and 360 days. Fill in the last three columns in the following table: National principal Fixed rate Accrual Period Settlement Date Dec 15 Mar 15 After-the-Fact Payments in Plain Vanilla Interest Rate Swap Jun 15 Sep 15 Dec 15 $50.000.000 7.5% Actual day count and 360-day year Advanced set settled in arrears Days in Period LIBOR (%) 7.68 7.50 7.06 6.06 90 92 92 91 ABSwaps Owes XYZ Owes Net to XYZ On December 15 XYZ enters into $50 million NP swap with ABSwaps. Payments will be on 15th of March, June, September, December for one year. XYZ will pay 7.5% fixed to ABSwaps, and ABSwaps will pay LIBOR to XYZ. The payment is determined by 3-month LIBOR at the beginning of the settlement period (advanced set, settled in arrears). Interest is based on actual day count and 360 days. Fill in the last three columns in the following table: National principal Fixed rate Accrual Period Settlement Date Dec 15 Mar 15 After-the-Fact Payments in Plain Vanilla Interest Rate Swap Jun 15 Sep 15 Dec 15 $50.000.000 7.5% Actual day count and 360-day year Advanced set settled in arrears Days in Period LIBOR (%) 7.68 7.50 7.06 6.06 90 92 92 91 ABSwaps Owes XYZ Owes Net to XYZ

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To fill in the last three columns of the table we need to calculate the amounts owed by ABSwaps and ... View the full answer