Question 5 XYZ Corporation enters into a 6-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed-rate of 9 percent annually on a notional amount of SFr10,000,000 and receive LIBOR - Y2 percent. The initial value of swap is zero. As of the third reset date (i.e. mid-way through the 6 year agreement), calculate the value of the swap to XYZ immediately after the interests payments, assuming that the fixed-rate at which XYZ can borrow has increased to 10% and LIBOR rate is 11%. Assume the term structure is flat and there has been no change in credit spreads from the inception of the swap until the new pricing date. SFr 248,685 SFr 248,685 SFr 50,000 None of the others. SFr 50,000 Question 5 XYZ Corporation enters into a 6-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed-rate of 9 percent annually on a notional amount of SFr10,000,000 and receive LIBOR - Y2 percent. The initial value of swap is zero. As of the third reset date (i.e. mid-way through the 6 year agreement), calculate the value of the swap to XYZ immediately after the interests payments, assuming that the fixed-rate at which XYZ can borrow has increased to 10% and LIBOR rate is 11%. Assume the term structure is flat and there has been no change in credit spreads from the inception of the swap until the new pricing date. SFr 248,685 SFr 248,685 SFr 50,000 None of the others. SFr 50,000