Use the following information about an interest rate SWAP contract to answer the following question. Assume...
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Use the following information about an interest rate SWAP contract to answer the following question. Assume for the date count fraction. (Do not round intermediate calculations.) If Bank of America wants to make a book P/L of $30,000, what adjustment should it make to its LIBOR floating payments? Counter Parties Barclays & Bank of America Notional Principal Fixed Rate payer Fixed Rate Floating Rate Payer Floating Rate $8,000,000 Barclays 6% (s.a.) Bank of America LIBOR+???bp (s.a.) 6 months Floating Rate Reset Effective date December 21, 2020 Maturity Date December 21, 2023 Term Pay rate Discount Receive rate Discount (Years) zero Factor zero Factor 0.5 5.25% 0.9747 5.33% 0.9744 1 5.78% 0.9454 5.88% 0.9445 1.5 5.97% 0.9167 6.17% 0.9141 2 6.22% 0.8863 6.33% 0.8845 2.5 6.31% 0.8582 6.43% 0.8557 3 6.39% 0.8304 6.51% 0.8276 Provide you answer in basis points, rounded to two decimal points. Recall that 1% = 100 basis points. The following numbers are meant to provide guidance for formatting: 0.5341%=0.005341=53.41bp. Use the following information about an interest rate SWAP contract to answer the following question. Assume for the date count fraction. (Do not round intermediate calculations.) If Bank of America wants to make a book P/L of $30,000, what adjustment should it make to its LIBOR floating payments? Counter Parties Barclays & Bank of America Notional Principal Fixed Rate payer Fixed Rate Floating Rate Payer Floating Rate $8,000,000 Barclays 6% (s.a.) Bank of America LIBOR+???bp (s.a.) 6 months Floating Rate Reset Effective date December 21, 2020 Maturity Date December 21, 2023 Term Pay rate Discount Receive rate Discount (Years) zero Factor zero Factor 0.5 5.25% 0.9747 5.33% 0.9744 1 5.78% 0.9454 5.88% 0.9445 1.5 5.97% 0.9167 6.17% 0.9141 2 6.22% 0.8863 6.33% 0.8845 2.5 6.31% 0.8582 6.43% 0.8557 3 6.39% 0.8304 6.51% 0.8276 Provide you answer in basis points, rounded to two decimal points. Recall that 1% = 100 basis points. The following numbers are meant to provide guidance for formatting: 0.5341%=0.005341=53.41bp.
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