E.4.1 - An investor has assets of R$ 1,000,000.00, maturing in 90 days, prefixed at 16.2% p.a., and wishes to carry out a swap pre x CDI.y Data: Bank pays 14.8% p.a. (360 calendar days), against 100% of the CDI and receives 16.2% p.a. (360 calendar days), against 100% of the CDI. It is worth noting that in these 90 days, the effective CDI rate was 4.10%. Reply:

a) What is the swap value for the investor? (difference between payable and receivable)

b) What is the net amount received after these 90 days? (asset value + swap differential)