Question
A bank has $1B in assets with D A =5 and $666 MM in Liabilities with D L =3 . The current rate is 5%.
A bank has $1B in assets with DA=5 and $666 MM in Liabilities with DL=3. The current rate is 5%. To hedge the interest Rate exposure the Bank wants to use a 10 Y Swap where fixed pays 5% (paid annually) and receives 1Year LIBOR;
What should be the notional value of the swap?
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Intermediate Financial Management
Authors: Eugene F. Brigham, Phillip R. Daves
7th Edition
0030333288, 9780030333286
