m. Quantitative Question (ILO:A1/B1) (183) Suppose in an interest rate swap the notional principal is $10,000,000 with a swap period of 2 years. Two companies agree to exchange afwed for a floating income stream. Bormio agrees to pay 5% to Parmnik. Darmko agrees to pay Barmho LIBOR-2.5% 1a: Suppose at the end of the first year LIBOR 15 4%, which party and how much will that party net? (SHOW CALCULATIONS HERE. USE NO TEXT) 11) Barmko pays Darmko Darmko pays Barmko: Barmko nets from Darmko: (1) (1) 1b. Suppose that the end of the second year LIBOR is 6%, which party and how much will that party net! (SHOW CALCULATIONS HERE, USE NO TEXT) (14) Barmko pays Darmka: Darmko pays Barmko: Barmko nets from Darmko (1) (1) Over the two years Barmko nets from Darmko: I 2. As a hedge, Rarmko buys a two-year cap on a 6 month LIBOR of $10,000,000 with current LIBOR at 4% suppose that in the first six months UBOR rises to 4.5% second six months USOR rises to 5.5% . third six months UBOR rises to 6% fourth six months LIBOR rises to 7% What will be the overall cash position of Rarmko, as a holder of both the interest rate swap above and the cap at 4%, at the end of two years? (Assume the cost of the cap is $100,000) (SHOW CALCULATIONS HERE. USE NO TEXT) 11 14 six months 2 six months: 3 six months 11M) 11 ) 1) 11 4th six months: Sum (over two year period) After hedge of the rate swap with the cap, the net position of Darmko 123 Suppose in an interest rate swap the national principal is $10,000,000 with a swap period of 2 years. Two companies agree to exchange a feed for a loating income stream. Ramke agrees to pay 4.5% to Rambo. Ramke agrees to pay Barmo LIBOR- ta. Suppose at the end of the first year LIBOR is ZX, which party and how much will that party net! SHOW CALCULATIONS HERE. USE NO TEXT) (1) Barmko pays Darmko: Darmko pays Barmkot Barmko nets from Darmka: (1) 16. Suppose that the end of the second year LIBOR SX, which party and how much will that party net? (SHOW CALCULATIONS HERE. USE NO TEXT) 11 (1) Barmke pays Darmke: Darmko pays Barmko: Barmko nets from Darmko: Over the two years Barmka nets from Darmo (1) 10 2. As a hedge. Rariko buys a two-year cap on a 6 month LIBOR of $10,000,000 with current LIBOR at 3%, suppose that in the first stx months LIBOR res to 3.5% second stx month LIBOR rises to 4 third six months LIBOR rises to 45 fourth six months LIBOR rises to 5% What will be the overall cash position of Darmo, as a holder of both the interest rate swap above and the Cap at 4%, at the end of two years? (Assume the cost of the cap is $100,000) (SHOW CALCULATIONS HERE. USE NO TEXT) 1 six months 2 six months IT 3-4 six months 4 six months: Surn (over two year period) 11 it (1) After hedge of the rate swap with the cap, the net position of Darmo 123 Suppose in an imerustutapthentional principal $10,000,000 with a swap period of 2 years. The companies agree to exchange fed for a floating income stream. Bernko agrees to pay to Rep. Dark grees to pay Banho UBOR-2 1. Suppose at the end of the first year LBOR 2 which party and how much will that party net? (SHOW CALCULATIONS HERE, USE NO TEXT it Barmke pays Darma Dermke paylam Burmkenets from Darms IT Sb. Suppose that the end of the Second LORS which party and how much will that party net! CHOW CALCULATIONS HOREUSE NO TEXT 11 Barmho pays Darmka: Darmke pays Bar Barnets from Darmo Over the two years Barmhomes from Dark 1) 2. As a hedge am bestera BOR 510.000.000 with current LIBOR 41 supone that is the months LIBOR second months LIDO ses te third is month fourth month LIBOR este What will be the overall cash position of er both the interest rate wapbove and the cap the end of two years cost of them is $200,000) (SHOW CALCULATIONS HEREN TEXT Time Hemanth Sum over two year perine A hede of the with the theater of the m. Quantitative Question (ILO:A1/B1) (183) Suppose in an interest rate swap the notional principal is $10,000,000 with a swap period of 2 years. Two companies agree to exchange afwed for a floating income stream. Bormio agrees to pay 5% to Parmnik. Darmko agrees to pay Barmho LIBOR-2.5% 1a: Suppose at the end of the first year LIBOR 15 4%, which party and how much will that party net? (SHOW CALCULATIONS HERE. USE NO TEXT) 11) Barmko pays Darmko Darmko pays Barmko: Barmko nets from Darmko: (1) (1) 1b. Suppose that the end of the second year LIBOR is 6%, which party and how much will that party net! (SHOW CALCULATIONS HERE, USE NO TEXT) (14) Barmko pays Darmka: Darmko pays Barmko: Barmko nets from Darmko (1) (1) Over the two years Barmko nets from Darmko: I 2. As a hedge, Rarmko buys a two-year cap on a 6 month LIBOR of $10,000,000 with current LIBOR at 4% suppose that in the first six months UBOR rises to 4.5% second six months USOR rises to 5.5% . third six months UBOR rises to 6% fourth six months LIBOR rises to 7% What will be the overall cash position of Rarmko, as a holder of both the interest rate swap above and the cap at 4%, at the end of two years? (Assume the cost of the cap is $100,000) (SHOW CALCULATIONS HERE. USE NO TEXT) 11 14 six months 2 six months: 3 six months 11M) 11 ) 1) 11 4th six months: Sum (over two year period) After hedge of the rate swap with the cap, the net position of Darmko 123 Suppose in an interest rate swap the national principal is $10,000,000 with a swap period of 2 years. Two companies agree to exchange a feed for a loating income stream. Ramke agrees to pay 4.5% to Rambo. Ramke agrees to pay Barmo LIBOR- ta. Suppose at the end of the first year LIBOR is ZX, which party and how much will that party net! SHOW CALCULATIONS HERE. USE NO TEXT) (1) Barmko pays Darmko: Darmko pays Barmkot Barmko nets from Darmka: (1) 16. Suppose that the end of the second year LIBOR SX, which party and how much will that party net? (SHOW CALCULATIONS HERE. USE NO TEXT) 11 (1) Barmke pays Darmke: Darmko pays Barmko: Barmko nets from Darmko: Over the two years Barmka nets from Darmo (1) 10 2. As a hedge. Rariko buys a two-year cap on a 6 month LIBOR of $10,000,000 with current LIBOR at 3%, suppose that in the first stx months LIBOR res to 3.5% second stx month LIBOR rises to 4 third six months LIBOR rises to 45 fourth six months LIBOR rises to 5% What will be the overall cash position of Darmo, as a holder of both the interest rate swap above and the Cap at 4%, at the end of two years? (Assume the cost of the cap is $100,000) (SHOW CALCULATIONS HERE. USE NO TEXT) 1 six months 2 six months IT 3-4 six months 4 six months: Surn (over two year period) 11 it (1) After hedge of the rate swap with the cap, the net position of Darmo 123 Suppose in an imerustutapthentional principal $10,000,000 with a swap period of 2 years. The companies agree to exchange fed for a floating income stream. Bernko agrees to pay to Rep. Dark grees to pay Banho UBOR-2 1. Suppose at the end of the first year LBOR 2 which party and how much will that party net? (SHOW CALCULATIONS HERE, USE NO TEXT it Barmke pays Darma Dermke paylam Burmkenets from Darms IT Sb. Suppose that the end of the Second LORS which party and how much will that party net! CHOW CALCULATIONS HOREUSE NO TEXT 11 Barmho pays Darmka: Darmke pays Bar Barnets from Darmo Over the two years Barmhomes from Dark 1) 2. As a hedge am bestera BOR 510.000.000 with current LIBOR 41 supone that is the months LIBOR second months LIDO ses te third is month fourth month LIBOR este What will be the overall cash position of er both the interest rate wapbove and the cap the end of two years cost of them is $200,000) (SHOW CALCULATIONS HEREN TEXT Time Hemanth Sum over two year perine A hede of the with the theater of the