On September 1, 2000, Company ABC had $10M of fixed-rate bonds outstanding. The bonds have a coupon
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On September 1, 2000, Company ABC had $10M of fixed-rate bonds outstanding. The bonds have a coupon rate of 9.25% (semi-annual coupons) and maturity of September 1, 2003. ABC wishes to create a synthetic floating rate loan through the swap market. On September 1, 2000, 3-year swaps were offered at a rate of 6.81%/LIBOR. Assume ABC takes the floating-payer position in the 3-year swap (Semi-annual payments, and notional principal of $10M). Complete the following table to indicate the cashflows associated with the synthetic floating rate loan. Mark cash outflows as negative values.
Related Book For
Fundamentals of Investments, Valuation and Management
ISBN: 978-1259720697
8th edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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