Question
A BBB-rated corporation enters a 5-year fixed-for-floating interest rate swap today in which it pays a fixed rate of 8.4% (annualized) and receives 3-month LIBOR.
A BBB-rated corporation enters a 5-year fixed-for-floating interest rate swap today in which it pays a fixed rate of 8.4% (annualized) and receives 3-month LIBOR. If in exactly one years time the corporations credit quality is unchanged and an interest rate swap for BBB-rated institutions is quoted at 6.7%-6.9%, what can you say about the value of the interest rate swap in one year?
(A) It has decreased from the perspective of the swap bank.
(B) The BBB-rated corporation would need to pay to exit the swap.
(C) It depends on the level of the quality spread differential.
(D) The value will equal zero because an interest rate swap is always fairly priced. (E) It
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Auditing The Food And Beverage Operation An Operational Audit Approach Volume 1
Authors: Hans L. Steiniger Certified Public Accountant Certified Internal Auditor
1st Edition
1424167698, 978-1424167692
