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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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