Question
A 30-yr interest rate swap with a notional principal of $10,000,000 requires quarterly payments in arrears, based on 90-day libor. The swap was entered into
A 30-yr interest rate swap with a notional principal of $10,000,000 requires quarterly payments in arrears, based on 90-day libor. The swap was entered into on April 1, 2015. If the fixed rate in the swap is 2.50% and 90-day LIBOR was 1.35% on Oct 1, 2017, 1.70% on Jan 1, 2018 and 2.30% on April 1, 2018, what net payment was made on Jan 1, 2018?
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The long (fixed rate payer) pays the short (floating rate payer) $28,750.
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The long (fixed rate payer) pays the short (floating rate payer) $20,000.
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The short (floating rate payer) pays the long (fixed rate payer) $20,000.
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The long (fixed rate payer) pays the short (floating rate payer) $5,000
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