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Use the following information about an interest rate SWAP contract to answer the following question. (Assume 12 for the date count fraction.) Capital Cities wants
Use the following information about an interest rate SWAP contract to answer the following question. (Assume 12 for the date count fraction.) Capital Cities wants to pay LIBOR+27bp. If CIBC wants to make a book P/L of $84,000, what fixed rate should CIBC pay? Counter Parties Notional Principal Fixed Rate payer Fixed Rate Floating Rate Payer Floating Rate Floating Rate Reset Effective date Maturity Date CIBC & Capital Cities $2,000,000 CIBC XXX% per annum Capital Cities LIBOR+27bp 6 months December 21, 2020 December 21, 2022 Term (Years) Pay rate Discount Receive rate Discount lzero Factor zero Factor 0.5 5.37% 0.9742 5.45% 0.97381 1.0 5.87% 0.9446 5.97% 0.9437 1.5 5.94% 0.9171 6.14% 0.9145 2.0 6.21% 0.88651 6.32% 0.8846 2.5 6.30% 0.8584 6.42% 0.8559) 3.0 6.42% 0.8297 6.54%) 0.82691 CIBC should pay percent. (Do not round intermediate calculations. Round your final answer to the nearest basis point.) Use the following information about an interest rate SWAP contract to answer the following question. (Assume 12 for the date count fraction.) Capital Cities wants to pay LIBOR+27bp. If CIBC wants to make a book P/L of $84,000, what fixed rate should CIBC pay? Counter Parties Notional Principal Fixed Rate payer Fixed Rate Floating Rate Payer Floating Rate Floating Rate Reset Effective date Maturity Date CIBC & Capital Cities $2,000,000 CIBC XXX% per annum Capital Cities LIBOR+27bp 6 months December 21, 2020 December 21, 2022 Term (Years) Pay rate Discount Receive rate Discount lzero Factor zero Factor 0.5 5.37% 0.9742 5.45% 0.97381 1.0 5.87% 0.9446 5.97% 0.9437 1.5 5.94% 0.9171 6.14% 0.9145 2.0 6.21% 0.88651 6.32% 0.8846 2.5 6.30% 0.8584 6.42% 0.8559) 3.0 6.42% 0.8297 6.54%) 0.82691 CIBC should pay percent. (Do not round intermediate calculations. Round your final answer to the nearest basis point.)
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