Party A enters into a plain vanilla 1-year
问题:
Party A enters into a plain vanilla 1-year interest rate swap agreement with Bank B in which he will make fixed-rate payments in exchange for receiving floating-rate payments based on LIBOR plus 100 basis points. Assume that payments are made quarterly in arrears based on a 360-day year. The fixed rate on the swap is 6.5 percent. The current interest rates on 90, 180, 270, and 360-day LIBOR are 5.2 percent, 5.5 percent, 5.8 percent, and 6.0 percent, respectively. If the notional principal is $100 million, what will Party A’s net cash flow at the end of the first quarter equal
A.
A. - $675000. |
B.
B. - $75000. |
C.
C. + $75000. |