What is plr and how it is related to credit risk pricing

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Reference no: EM13924803

1. What is PLR and how it is related to credit risk pricing?

2. Recently ABC Bank has approved a short-term loan at an interest rate of 10%. Calculate the implied PD if the one year treasury bill rate is 8%.

3. A bank entered into a one year interest rate swap for a notional amount of $400 million, paying a fixed rate of 7.5% per year and receiving LIBOR annually. At the end of the first year, the annual LIBOR rates were 7% per year. Calculate the net payment to be made or received by the bank.

Reference no: EM13924803

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