Use the following table of spot rates: Years to Maturity Annual Effective Spot Rate 1 3.00% 3.60% 3.85% 4. 4.05% 4.20% For a 2-year-deferred, 3-year interest rate swap with the level notional amount is 1 million and 1-year spot rate at time 3 is 3%, what is the amount of the net settlement payment at time 4? Is this amount paid by the payer, or by the receiver? a. None of the above O b. 15,950 paid by the receiver Oc. 16,950 paid by the payer d. 15,950 paid by the payer e. 16,950 pay by the receiver
Use the following table of spot rates: Years to Maturity Annual Effective Spot Rate 1 3.00% 3.60% 3.85% 4. 4.05% 4.20% For a 2-year-deferred, 3-year interest rate swap with the level notional amount is 1 million and 1-year spot rate at time 3 is 3%, what is the amount of the net settlement payment at time 4? Is this amount paid by the payer, or by the receiver? a. None of the above O b. 15,950 paid by the receiver Oc. 16,950 paid by the payer d. 15,950 paid by the payer e. 16,950 pay by the receiver
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