3. Today is January 2, 2021. The LIBOR yield curve with annualized quarterly compounded interest rates is shown in the second column of Table III. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments (you pay swap rate) and $ 100 million notional. i) What is the 1-year swap rate for a quarterly fixed-for-floating swap? ii) What is the total value of the swap contract on June 2, 2021? a Table III. The LIBOR yield Curves: January, 2021-October, 2021 Months 2-Jan 1-Feb 3-Mar 1-Apr 1-May 2-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1 2 3 4 5 6 7 8 9 10 11 12 4.57% 4.64% 4.68% 4.65% 4.61% 4.57% 4.50% 4.42% 4.35% 4.29% 4.24% 4.19% 3.14% 3.11% 3.10% 3.07% 3.05% 3.02% 2.97% 2.92% 2.88% 2.85% 2.83% 2.82% 3.09% 3.04% 3.01% 2.97% 2.91% 2.86% 2.81% 2.76% 2.71% 2.68% 2.65% 2.63% 2.70% 2.69% 2.68% 2.66% 2.64% 2.62% 2.58% 2.54% 2.51% 2.50% 2.48% 2.47% 2.72% 2.76% 2.78% 2.82% 2.85% 2.88% 2.90% 2.92% 2.93% 2.95% 2.97% 2.98% 2.46% 2.57% 2.68% 2.75% 2.83% 2.90% 2.94% 2.98% 3.02% 3.06% 3.10% 3.14% 2.46% 2.65% 2.79% 2.89% 3.01% 3.12% 3.15% 3.19% 3.22% 3.25% 3.29% 3.32% 2.46% 2.66% 2.79% 2.89% 3.00% 3.08% 3.10% 3.12% 3.14% 3.17% 3.20% 3.22% 2.49% 2.68% 2.81% 2.94% 3.02% 3.11% 3.12% 3.14% 3.15% 3.16% 3.18% 3.20% 4.00% 4.05% 4.15% 4.09% 4.07% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% Source: Bloomberg. 3. Today is January 2, 2021. The LIBOR yield curve with annualized quarterly compounded interest rates is shown in the second column of Table III. You decide to enter into a 1-year fixed-for-floating swap agreement with quarterly payments (you pay swap rate) and $ 100 million notional. i) What is the 1-year swap rate for a quarterly fixed-for-floating swap? ii) What is the total value of the swap contract on June 2, 2021? a Table III. The LIBOR yield Curves: January, 2021-October, 2021 Months 2-Jan 1-Feb 3-Mar 1-Apr 1-May 2-Jun 1-Jul 1-Aug 1-Sep 1-Oct 1 2 3 4 5 6 7 8 9 10 11 12 4.57% 4.64% 4.68% 4.65% 4.61% 4.57% 4.50% 4.42% 4.35% 4.29% 4.24% 4.19% 3.14% 3.11% 3.10% 3.07% 3.05% 3.02% 2.97% 2.92% 2.88% 2.85% 2.83% 2.82% 3.09% 3.04% 3.01% 2.97% 2.91% 2.86% 2.81% 2.76% 2.71% 2.68% 2.65% 2.63% 2.70% 2.69% 2.68% 2.66% 2.64% 2.62% 2.58% 2.54% 2.51% 2.50% 2.48% 2.47% 2.72% 2.76% 2.78% 2.82% 2.85% 2.88% 2.90% 2.92% 2.93% 2.95% 2.97% 2.98% 2.46% 2.57% 2.68% 2.75% 2.83% 2.90% 2.94% 2.98% 3.02% 3.06% 3.10% 3.14% 2.46% 2.65% 2.79% 2.89% 3.01% 3.12% 3.15% 3.19% 3.22% 3.25% 3.29% 3.32% 2.46% 2.66% 2.79% 2.89% 3.00% 3.08% 3.10% 3.12% 3.14% 3.17% 3.20% 3.22% 2.49% 2.68% 2.81% 2.94% 3.02% 3.11% 3.12% 3.14% 3.15% 3.16% 3.18% 3.20% 4.00% 4.05% 4.15% 4.09% 4.07% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% 4.04% Source: Bloomberg
