Question

In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and...

In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. Three- month forward LIBOR for all maturities is currently 4% per annum. The three-month LIBOR rate one month ago was 3.2% per annum. OIS rates for all maturities are currently 3.8% with continuous compounding. All other rates are compounded quarterly. What is the value of the swap?

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and...
In an interest rate swap, a financial institution has agreed to pay 3.6% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. Three-month forward LIBOR for all maturities is currently 4% per annum. The three-month LIBOR rate one month ago was 3.2% per annum. OIS rates for all maturities are currently 3.8% with continuous compounding. All other...
Under the terms of an interest rate swap, a financial institution has agreed to pay 10%...
Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and to receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. The average of the bid and offer fixed rates currently being swapped for three-month LIBOR is 12% per annum for all maturities. The three-month LIBOR rate one month ago was 11.8% per...
In an interest rate swap offered by a bank, Company A could pay 3.5% per annum...
In an interest rate swap offered by a bank, Company A could pay 3.5% per annum and receive six-month LIBOR in return on a notional principal of $100 million with payments being exchanged every six months. The swap has a remaining life of 16 months. Six-month forward LIBOR for all maturities is currently 3.8% per annum. The six-month LIBOR rate two month ago was 3.2% per annum. OIS rates for all maturities are currently 3.0% with continuous compounding. All other...
Under the terms of an interest rate swap, a financial institution has agreed to pay10%per annum...
Under the terms of an interest rate swap, a financial institution has agreed to pay10%per annum and receive three-month LIBOR in return on a notional principal of$100million with payments being exchanged every three months. The swap has a remaining life of 11 months. Suppose the two-, five-, eight-, and eleven-month LIBORs are 11.5%, 11.75%, 12%, and 12.25%, respectively. The three-month LIBOR rate one month ago was11:8%per annum. All rates are compounded quarterly. What is the value of the swap?
Under the terms of an interest rate swap, a financial institution has agreed to pay 10%...
Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and to receive six-month LIBOR in return on a notional principal of $100 million with payments being exchanged every 6 months. The swap has a remaining life of 4 months. The average of the bid and offer fixed rates currently being swapped for 6-month LIBOR is 12% per annum for all maturities. The 6-month LIBOR rate two months ago was 11% per...
Under the terms of an interest rate swap, a financial institution has agreed topay10%per annum and...
Under the terms of an interest rate swap, a financial institution has agreed topay10%per annum and receive three-month LIBOR in return on a notional principal of$100million with payments being exchanged every three months.The swap has a remaining life of 11 months. Suppose the two-, five-, eight-, and eleven-month LIBORs are 11.5%, 11.75%, 12%, and 12.25%, respectively. Thethree-month LIBOR rate one month ago was11:8%per annum. All rates are compounded quarterly. What is the value of the swap to the financial institution?
Under the terms of an interest rate swap, a financial institution has agreed to pay 10%...
Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and receive three-month LIBOR in return on a notional principal of $100 million with payments being exchanged every three months. The swap has a remaining life of 11 months. Suppose the two-, five-, eight-, and eleven-month LIBORs are 11.5%, 11.75%, 12%, and 12.25%, respectively. The three-month LIBOR rate one month ago was 11.8% per annum. All rates are compounded quarterly. What is...
In an interest rate swap, ABC financial institution pays 6% per annum and receives three-month LIBOR...
In an interest rate swap, ABC financial institution pays 6% per annum and receives three-month LIBOR in return on a notional principal of GBP 100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. The average of the bid and offer fixed rates currently being swapped for three- month LIBOR is 8% per annum for all maturities. The three-month LIBOR rate one month ago was 7.8% per annum. All rates are compounded...
A financial institution has entered into an interest rate swap with company X. Under the terms...
A financial institution has entered into an interest rate swap with company X. Under the terms of the swap, it receives 10% per annum and pays six-month LIBOR on a principal of $10 million for five years. Payments are made every six months. Suppose that company X defaults on the sixth payment date (end of year 3) when the LIBOR/swap interest rate (with semiannual compounding) is 9% per annum for all maturities. What is the loss to the financial institution?...
A $100 million interest rate swap has a remaining life of 10 months. Under the terms...
A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, six-month LIBOR is exchanged for 7% per annum (compounded semiannually). The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 5% per annum with continuous compounding. The six-month LIBOR rate was 4.6% per annum two months ago. What is the face value of the first floating payment? A. 2.26 B. 2.3 C. 2.11...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT