Use the following information about an interest rate SWAP contract to answer the following question. Assume (
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Question:
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. Round your answer to decimal places. Enter your answer in dollars, not in millions.
Counter Parties HSBC & JPMorgan
Notional Principal $
Fixed Rate payer HSBC
Fixed Rate per annum
Floating Rate Payer JPMorgan
Floating Rate LIBOR
Floating Rate Reset months
Effective date December
Maturity Date December
Term Years Pay rate zero Discount Factor Receive rate zero Discount Factor
What is JPMorgan's PL on this swap?
Posted Date: