USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The WallMal Company has entered into a four-year interest rate swap, with semiannual settlement, to pay a fixed rate of 8 percent per year and receive six-month LIBOR. The notional principal is $50,000,000.
-Refer to Exhibit 15.19. Assume that one year later the fixed rate on a new three-year receive fixed pay floating LIBOR swap has fallen to 7 percent per year. Settlement is on a semiannual basis. Calculate the market value of the FRN based on $100 face value.
A) $102.66
B) $100.00
C) $95.56
D) $89.63
E) $70.77

Question

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The Answer of USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The WallMal Company has entered into a four-year interest rate swap, with semiannual settlement, to pay a fixed rate of 8 percent per year and receive six-month LIBOR. The notional principal is $50,000,000.
-Refer to Exhibit 15.19. Assume that one year later the fixed rate on a new three-year receive fixed pay floating LIBOR swap has fallen to 7 percent per year. Settlement is on a semiannual basis. Calculate the market value of the FRN based on $100 face value.
A) $102.66
B) $100.00
C) $95.56
D) $89.63
E) $70.77