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Golden Corporation invests in a 1.8% interest rate cap to hedge $10,000,000 in variable rate debt, whose rate is set at LIBOR plus 50 bp.
Golden Corporation invests in a 1.8% interest rate cap to hedge $10,000,000 in variable rate debt, whose rate is set at LIBOR plus 50 bp. For the 6-month period ending December 31, 2020, LIBOR is 1.5%. For this same period, the caps market value increases by $9,500. What is the change in time value on the cap, for the 6-month period ending December 31, 2020?
$9,500 loss
$10,000 gain
$500 loss
$9,500 gain
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