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.

International Financial Management
14th Edition
ISBN:9780357130698
Author:Madura
Publisher:Madura
Chapter11: Managing Transaction Exposure
Section: Chapter Questions
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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 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
44,417
Transcribed Image Text: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 44,417
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