USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The Skalmory Corporation has entered into a three-year interest rate swap, with semiannual settlement, to pay a fixed rate of 7.5 percent per year and receive six-month LIBOR. The notional principal is $10,000,000.
-Refer to Exhibit 15.17. Assume that one year later the fixed rate on a new two-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) $101.33
B) $100.58
C) $100.00
D) $98.67
E) $95.83

Question

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The Answer of USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The Skalmory Corporation has entered into a three-year interest rate swap, with semiannual settlement, to pay a fixed rate of 7.5 percent per year and receive six-month LIBOR. The notional principal is $10,000,000.
-Refer to Exhibit 15.17. Assume that one year later the fixed rate on a new two-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) $101.33
B) $100.58
C) $100.00
D) $98.67
E) $95.83