Company XYX has entered into an interest rate swap with Bank ABC with the following terms:...

Transcribed Image Text:

Company XYX has entered into an interest rate swap with Bank ABC with the following terms: Co XYZ receives QONIA+0.75%, pays 6.5% Notional principal: $150 million Payment terms: semi-annual Term: 3 years Time QONIA T-0 7.50% T=0.5 7.10% T=1.0 6.70% T=1.5 7.00% T=2.0 7.30% T=2.5 T=3 6.75% 6.50% a. Calculate the cash flows, including net amount, over the life of the swap. (10 marks) b. Compare and contrast an fixed-floating interest rate swap with a fixed-floating currency swap. (5 marks) Company XYX has entered into an interest rate swap with Bank ABC with the following terms: Co XYZ receives QONIA+0.75%, pays 6.5% Notional principal: $150 million Payment terms: semi-annual Term: 3 years Time QONIA T-0 7.50% T=0.5 7.10% T=1.0 6.70% T=1.5 7.00% T=2.0 7.30% T=2.5 T=3 6.75% 6.50% a. Calculate the cash flows, including net amount, over the life of the swap. (10 marks) b. Compare and contrast an fixed-floating interest rate swap with a fixed-floating currency swap. (5 marks)