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An interest rate swap has the following specifications: Notional principal = $100m Pay fixed rate (annual basis) = 7% Received rate (annual basis) = LIBOR

An interest rate swap has the following specifications:

  • Notional principal = $100m
  • Pay fixed rate (annual basis) = 7%
  • Received rate (annual basis) = LIBOR plus 1%
  • Interest rate calculations are in quarterly basis.

Counterparty X entered a pay fixed rate swap on Jan 1, 2019 with Counterparty Y. On Dec 31, 2019, the LIBOR rate is 5.5%. What should be the net cashflow?

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