What is the value of the swap

Assignment Help Business Economics

Reference no: EM133428799

Question: Under the terms of an interest rate swap, a financial institution has agreed to receive 5% per annum and to pay three-month LIBOR in return on a notional amount of $100 million, with payments being exchanged every three months. The swap has a remaining life of 4 months. The average of the bid and offer fixed rates currently being swapped for three-month LIBOR is 7% per annum for all maturities. The three-month LIBOR rate two months ago was 6% per annum. All rates are compounded quarterly. What is the value of the swap?

Reference no: EM133428799

Questions Cloud

Why do not they simply use the real rate as their policy : While real interest rates drive the economy, the Fed's policy instrument is a nominal interest rate. Why don't they simply use the real rate as their policy

Who was superior from an economic standpoint : Who was superior from an economic standpoint? Who was superior in the political views? Who was superior within the military? At the end of the day

Describe how it uses an appeal to reasoning : Describe how it uses an appeal to reasoning, an appeal to emotions, an appeal to character, and/or an appeal to value

Discuss the different types of unemployment : Point our the major impacts of inflation Discuss the different types of unemployment?

What is the value of the swap : The average of the bid and offer fixed rates currently being swapped for three-month LIBOR is 7% per annum for all maturities. The three-month LIBOR rate two

Determine the cost to the government of buying firms unsold : Determine the cost to the government of buying firms' unsold units. Compute the lost social welfare (deadweight loss) that stems from the $42 price floor.

Explain why house prices began to rise : Analyzing Causes In 2013, it was reported that house prices were increasing for the first time in almost 5 years. Identify the factors that explain why house

Write a contemporary protest-poem : Write a contemporary protest-poem in the style of Ginsberg's "America", addressed to your country (this can be the country where you currently are

Explain the difference between the comparative statistics : Explain the difference between the comparative statistics and dynamics of a market, such as physician services or long-term care.

User Account

All Pages