Calculate the cash settlement of the fra transaction

Assignment Help Financial Management

Reference no: EM13945226

Today, ABC Bank (seller) has made a "three against nine" FRA, with XYZ Bank (buyer). Notional amount on the FRA is $10,000,000 and the agreement rate on the FRA is 4.9%. Actual number of days on the contract is 182 days. Suppose, three month later, the market interest rates on LIBOR are quoted as follows. 1-month LIBOR = 4.98% 3-month LIBOR = 5% 6-month LIBOR = 5.03% 9-month LIBOR = 5.0625% 12-month LIBOR = 5.08% (1) Calculate the cash settlement of the FRA transaction (2) Who receives the cash settlement? ABC Bank or XYZ Bank?

Reference no: EM13945226

Questions Cloud

Trading costs and taxes : You purchased six TJH call option contracts with a strike price of $40 when the option premium was quoted at $1.30. The option expires today when the value of TJ stock is $41.90. Ignoring trading costs and taxes, what is your total profit or loss on ..

Importance of standards in networking technology : Question 1: Explain how antenna polarization can affect the reception of RF signals. Question 2: Discuss the importance of standards in networking technology and in communications in general. Evaluate how standards have helped to shape commonly us..

Discuss the different kinds of prophets : Discuss the historical background during the time of the kingdoms of Israel and Judah. Your response does not have to be in depth, but please respond in 2 or 3 paragraphs.

Regard to payroll and accounts payable functions : Sasha Company allocates the estimated $196,400 of its accounting departments costs to its production and sales departments since the accounting department supports the other two departments particularly with regard to payroll and accounts payable fun..

Calculate the cash settlement of the fra transaction : Today, ABC Bank (seller) has made a "three against nine" FRA, with XYZ Bank (buyer). Notional amount on the FRA is $10,000,000 and the agreement rate on the FRA is 4.9%. Actual number of days on the contract is 182 days. Calculate the cash settlement..

What probability technique is used : What probability technique is used, and please list steps how to solve this problem.

A picture of yourself somewhere inside jpl : In other words, describe a specific space mission, project, or instrument and describe how the technology, science, or engineering connects to the material in our class. Be very specific for full credit. Consider this a technical research project;..

Analysis of the roi of business and engineering majors : Write a minimum 4 page report explaining the results from your analysis of the ROI of Business Majors and Engineering Majors. Use your results from each week's assignment to make this report

Measure the resistance of a resistor using a voltmeter : Why did you have such a large percent difference in the resistance of the lamp filament with the two different applied voltages? What physical condition of a conductor must remain constant for Ohm's law to apply?

User Account

All Pages