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.
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.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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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