What is the mark-to-market value of the swap

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Suppose notional principal (NP) = $100 million. An investor buys a quarterly settlement LIBOR in a 2-year swap, paying a swap fixed rate of 7%. If LIBOR turns out to be 7.2% in next quarter, what is the investor's cash flow?

A 5-year swap is initiated with annual payments and notional principal of $100m. The swap fixed rate = 8%. Suppose that after one year, the market rate has fallen to 7%. What is the mark-to-market value (equivalently, the NPV) of the swap (in millions of dollars)?

A Eurodollar futures contract currently has a futures price of 99.70. If the LIBOR rate at contract maturity is .50%, what is the profit (positive number) or loss (negative number) realized by the trader on the long side of the contract? (The trader buys one contract.)

Your firm has issued at par value a floating rate note paying an interest rate of LIBOR + 1%. LIBOR for fixed rate swaps are available with swap fixed rates of 6% bid or 6.1% asked. If you use the swap to convert your issued bond into synthetic fixed rate debt, what will be the effective interest rate on that debt? (Submit your answer as a percent; for example, if your answer is 6.5%, then enter 6.5.)

Reference no: EM132813722

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