AMP Bank has the following future contracts:

Position Quantity Future Price(1/1/24) Market Price (12/31/24) Commodity 1 Long 400 2,000 1,800 Commodity 2 Long 800 1,600 1,900 Commodity 3 Short 4,000 250 220 Commodity 4 Short 6,000 60 75

How much is the total derivative asset (liability) on December 31, 2024?

PROBLEM 2

On January 1, 2024, ABC Bank obtained a 5-year, P4,000,000 variable-rate loan with interest payments due at each year-end and the principal due on December 31. 2028. The bank entered into an interest rate swap for the whole principal of the loan, and under such agreement, the bank shall receive interest and pay fixed interest based on a fixed rate of 8%. Swap payments shall be made at each year-end.

The following are the current market rates:

Jan. 1, 2024 8%

Jan. 1, 2025 9%

Jan. 1, 2026 12%

Required:

How much is the FV of the interest rate swap on December 31, 2026

Answer rating: 100% (QA)

To calculate the total derivative asset liability on December 31 2024 we need to determine the fair ... View the full answer