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Assume that today is 15th June 2021, the two companies enter the $50 million 5-year swap you have designed in Task 3.1. The payments of
Assume that today is 15th June 2021, the two companies enter the $50 million 5-year swap you have designed in Task 3.1. The payments of the swap are made semi-annually, on 15th December and June each year. Note that LIBOR is determined on the previous settlement date. The accrual period is the actual number of days divided by 360. Your task is to complete the Template (Exhibit 4) below, which demonstrates the cash flows on the swap from the perspective of WMM. WMM WMM Net cash LIBOR Days in Date receives pays flow to (%) period ($) ($) WMM ($) 15/06/2021 2.5 15/12/2021 3.1 15/06/2022 3.4 15/12/2022 2.6 15/06/2023 2.8 15/12/2023 1.5 15/06/2024 2.6 15/12/2024 2.9 15/06/2025 1.8 15/12/2025 2.9 15/06/2026 Exhibit 4: Template of CFs on the swap
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