A corporation enters into a five-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed rate of 10.30 percent annually on a notional amount of €15,000,000 and receive six-month CME Term SOFR +0.5 percent. As of the second reset date, determine the price of the swap from the corporation's viewpoint assuming that the fixed rate side of the swap has increased to 10.80 percent.
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- A corporation enters into a five-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed rate of 9.90 percent annually on a notional amount of €15,000,000 and receive six-month CME Term SOFR +0.5 percent. As of the second reset date, determine the price of the swap from the corporation's viewpoint assuming that the fixed rate side of the swap has increased to 10.40 percent. Swap priceA corporation enters into a five-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed rate of 10.60 percent annually on a notional amount of €15,000,000 and receive six-month CME Term SOFR + 0.5 percent. As of the second reset date, determine the price of the swap from the corporation's viewpoint assuming that the fixed rate side of the swap has increased to 11.10 percent.A corporation enters into a five-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed rate of 10.30 percent annually on a notional amount of €15,000,000 and receive six- month CME Term SOFR + 0.5 percent. As of the second reset date, determine the price of the swap from the corporation's viewpoint assuming that the fixed rate side of the swap has increased to 10.80 percent. Answer is complete but not entirely correct. Swap price 11
- A U.S. company has entered into an interest rate swap with a dealer in which the notional principal is $50 million.The company will pay a floating rate of LIBOR and receive a fixed rate of 5.75 percent. Interest is paid semiannually,and the current LIBOR is 5.15 percent. Calculate the first payment. Assume that floating-rate payments will be madeon the basis of 180/360 and fixed-rate payments will be made on the basis of 180/365.a. $130,308.20, the floating-rate payer will receive b. $130,308.20, the fixed-rate payer will receivec. $50 million, the fixed-rate payer will pay d. $50 million, the floating-rate payer will payIncredible Inc., a manufacturer of children’s toys, enters into a two-year plain vanilla interest rate swap, in which the corporation will receive a fixed rate and pay a floating rate of LIBOR. The notional amount on this swap is $75 million. Swap payments will be netted every 180 days, and the LIBOR requires the assumption of a 360-day year. The term structure of LIBOR on the swap initiation date is as follows: Days Rate (%) 180 3.50 360 3.55 540 3.60 720 3.70 a. What is the fixed rate determined on the swap initiation date? b. Calculate the swap value on the initiation date.Styles c)A swap agreement calls for Grand Industries to pay interest annually based on a rate of 1% over the one year T bill rate, currently 6%. In return, Grand receives interest at a rate of 6% on a fixed rate basis. The notional principal for the swap is $ 500000| What is Grand's net interest for the year after the agreement?
- A 2-year swap based on LIBOR is entered into on 30/6/2010 with current spot 3 month LIBOR at 0.54%. The swap is based on a notional principal of $100m What is the swap rate?Netflix company has entered into a plain vanilla interest rate swap on $2,500,000 notional principal. The company pays fixed rate of 7.0% on payments that occur at 60-day intervals. Six payments remain with the next one due in exactly 60 days. On the other side of the swap, the company receives payments based on the LIBOR rate. Describe the transaction that occurs between the company and the dealer at the end of the first period if the appropriate LIBOR rate is 8.5%.Al-Yamamah has just entered into a two-year floating-for-fixed swap contract, where payments are made every six months. The 6-month LIBOR is 4.82%. The 6 to 12 months forward LIBOR rate is 6.71% and the 12 to 18 month forward LIBOR rate is 7.81. The two-year swap rate is 7.2%. If the OIS rate is 3.5% and the term structure of the OIS rate is flat, what is the 18 to 24 month Forward LIBOR rate? All rates are semi-annually compounded, except for the OIS, which is continuously compounded. (Round to the closest hundredths. Rates should be in percentage form. E.g. 9.99%)
- An investor who owns a interest rate swap pay six-month LIBOR and receive 18.1% (semi-annual compounding) on a principal of 95 million Euro. The remaining life of this swap is 15 months (1.25 years). The LIBOR rates for 3m, 9m and 15m are 19.1%, 19.6%, and 20.1% (continuous compounding), and the 6-month LIBOR on the last payment date (the most recent reset date) was 19.3% (semi-annual compounding). Calculate the value of the swap (in millions):Suppose that a commodity’s respective forward prices for 1 year and 2 years are $150 and $158. The 1-year effective annual interest rate is 5.9%, and the 2-year interest rate is 6.6%. You will pay a fixed rate of $153.85906 in a 2-year swap and receive the floating rate. At the time you enter the swap contract, its value to you is... A.$0.0084 B.$–0.0084 C.$0.0051 D.. $–0.0051 E.$000000A (the Payer) enters into a fixed for floating swap arrangement with B (the Receiver). USD 360-day LIBOR at the date the swap is created: 3.72% USD 360-day LIBOR after 1 year: 3.81% The terms of the agreement are as follows: Fixed rate 4.22% Tenor, years 2.0 Notional principal 4,000,000.0 Frequency Annual Floating rate USD 360 - day LIBOR What is the net cash flow for B ( the Receiver) in year 1? Select one: 20,000.0 16,400.0 (16,400.0) (20,000.0)