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STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it
STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-month SAIBOR in return on a notional principal of SAR 100 million with payments being exchanged every three months. The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different maturities: Maturitv 0.25 0.5 0.75 1.25 SAIBOR Rates 3.25% 3.4% 3.55% 3.7% 3.8% The three-month SAIBOR rate three months ago, when the last swap payment was made, was 2.8% per annum. OIS Rates are 3.47% for 3 months, 3.59% for 6 months, and 3.86% for 9 months. All SAIBOR rates are compounded quarterly. What is the value of the swap? Use EXCEL Only
STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest
rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-month SAIBOR in
return on a notional principal of SAR 100 million with payments being exchanged every three months.
The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different
maturities:
Maturitv
0.25
0.5
0.75
1.25
SAIBOR Rates
3.25%
3.4%
3.55%
3.7%
3.8%
The three-month SAIBOR rate three months ago, when the last swap payment was made, was 2.8% per
annum. OIS Rates are 3.47% for 3 months, 3.59% for 6 months, and 3.86% for 9 months. All SAIBOR rates are compounded quarterly. What is the value of the swap?
Use EXCEL Only
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