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Problem 15-11

With the interest rate swap quotations shown in the Table 1, calculate the swap cash flows from the point of view of the fixed-rate receiver on a two-year swap with a notional principal of $26.5 million. You may assume the relevant part of the settlement date pattern and the realized LIBOR path shown in the Table 2 for the three-year agreement. Also, calculate the fixed-rate payment on a 30/360-day count and the floating-rate payments on an actual/360-day basis.

Table 1. U.S. Semi-Annual Fixed (30/360) vs. 6-mo. LIBOR
			Swap Fixed Rate (%)				Swap Spread (bp)
Swap Maturity			Bid	Ask	Mid		Bid	Ask
1 Yr			4.6540	4.6620	4.6580
2 Yr			4.4860	4.4910	4.4885		67.70	68.00
3 Yr			4.5370	4.5460	4.5430		71.38	71.50
4 Yr			4.6230	4.6300	4.6265		68.00	68.60
5 Yr			4.7110	4.7160	4.7135		66.50	66.70
6 Yr			4.8020	4.8020	4.8020		67.00	67.40
7 Yr			4.8790	4.8790	4.8790		67.10	67.40
8 Yr			4.9320	4.9320	4.9320		66.00	66.50
9 Yr			4.9880	4.9930	4.9925		65.30	66.50
10 Yr			5.0410	5.0480	5.0445		61.43	62.50
15 Yr			5.2030	5.2070	5.2065		70.50	70.80
20 Yr			5.2670	5.2670	5.2670		70.90	71.10
25 Yr			5.2920	5.2960	5.2940		65.40	65.90
30 Yr			5.2910	5.2960	5.2935		58.30	58.90

Table 2. Three-Year Plain Vanilla Interest Rate Swap
Settlement	Settlement		Number of	Number of	Current
Year	Date		Actual Days	30/360 Days	LIBOR
0		October 23			4.15%
1		April 23	183	180	4.40%
1		October 23	183	180	5.00%
2		April 23	182	180	4.95%
2		October 23	183	180	4.50%
3		April 23	182	180	4.35%
3		October 23	183	180	4.10%

Fill in the table below. Do not round intermediate calculations. Round your answers to the nearest cent.

Settlement	Settlement		Fixed-Rate	Floating-Rate
Year	Date		Receipt	Payment
1		April 23	$	$
1		October 23	$	$
2		April 23	$	$
2		October 23	$	$
3		April 23	$	$
3		October 23	$	$