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1. Connie recently entered into a receive fixed-rate interest rate swap to hedge the Bank's...

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Finance

1. Connie recently entered into a receive fixed-rate interest rate swap to hedge the Bank's newly purchase agency bond. The swap terms are as follows:

i. Notional $5M

ii. Effective/Settle Date 5/01/2021

i. Maturity Date 5/1/2023

iv. Fixed-Rate 1.25% quarterly payment

V. Floating-Rate: 3-month LIBOR

  • Using Bloomberg SWPM, calculate the value of the new swap with the 5/1/2021 curve date and valuation date.
  • After one year, the counterparty has decided to call the Bank to collect collateral against the swap, but the Bank got rid of the expensive Bloomberg Terminal! Calculate the value of the swap as of 5/1/2022 manually, using the table in Appendix A.

image

Appendix A Appendix A

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