General Motors. has a floating-rate liability and wants a fixed-rate exposure. They enter into a 2-year quarterly-pay $10 million fixed-for-floating swap as the fixed-rate payer. The counter party is Chase. The fixed rate is 4% and the floating-rate is 90-day LIBOR + 1%, with both calculated based on a 360-day year. Realizations of 90-day LIBOR are:

Annualized LIBOR:

Current 3.5%

In 1 quarter 3%

In 2 quarters 3.2%

In 3 quarters 3.8%

In 4 quarters 4%

At swap initiation:

Question 5 options:

	There is no exchange of payment.
	Chase pays General Motors $10 millions.
	General Motors pays Chase interest payment of $400,000.

Question 6 (2.5 points)

General Motors. has a floating-rate liability and wants a fixed-rate exposure. They enter into a 2-year quarterly-pay $10 million fixed-for-floating swap as the fixed-rate payer. The counter party is Chase. The fixed rate is 4% and the floating-rate is 90-day LIBOR + 1%, with both calculated based on a 360-day year. Realizations of 90-day LIBOR are:

Annualized LIBOR:

Current 3.5%

In 1 quarter 3%

In 2 quarters 3.2%

In 3 quarters 3.8%

In 4 quarters 4%

The swap payment at the end of the 5^th quarter is:

Question 6 options:

	$40,000
	Not enough information.
	$0
	$25,000