What is now the value of the swap of notional value

Assignment Help Finance Basics

Reference no: EM133615966

Problem

In June 2021, swap dealers were quoting a rate for five-year euro interest-rate swaps of 0.73% against SONIA (the short-term interest rate for euro loans). SONIA at the time was 0.05%. Suppose that A arranges with a dealer to swap a €10 million five-year fixed-rate loan for an equivalent floating-rate loan in Euros.

I. Assume the swap is fairly priced. What is the value of this swap at the time that it is entered into?

II. Suppose that immediately after A has entered into the swap, the long-term interest rate rises by 1%. Who gains and who loses?

III. What is now the value of the swap for each €1,000 of notional value?

Reference no: EM133615966

Questions Cloud

What is the predicted return on jt in the coming year : Junior Technologies (JT) is currently trading at $36.50 per share. JT's has a beta of 1.8. What is the predicted return on JT in the coming year?

What is the sum that you need to deposit today : Suppose your banker offers to pay you $255.20 in five years if you deposit X dollars today. What is the sum that you need to deposit today?

Stuttered together with absorbable suture material : excision of this skin .bleeding was controlled by chemical cautery. the skin edges were stuttered together with absorbable suture material

What should the apn tell the patient : The patient's medical record reveals that he received the PVC 20 seven months ago. What should the APN tell the patient

What is now the value of the swap of notional value : What is the value of this swap at the time that it is entered into? What is now the value of the swap for each €1,000 of notional value?

What are your views on efficacy of vitamin supplementation : What are your views on the efficacy of vitamin supplementation? Are there specific vitamins that have been shown to positively influence mental health

How did the introduction of a tertiary care : How did the introduction of a tertiary care, illness-based system affect the profession of nursing? Cite 2 professional references

Determine whether the post-operative iop : determine whether the post-operative IOP in patients after laser refractive surgery was related to the residual thickness of the cornea

How will you ensure that sara is comfortable : Sara, a 21-year-old female presents to your office for her first gynecological exam. (scenario used next three questions). How will you ensure that Sara

User Account

All Pages