Exhibit 23.7 Use the Information Below for the Following Problem(S)

question 10

Multiple Choice

Exhibit 23.7
Use the Information Below for the Following Problem(S)
The WallMal Company has entered into a 4-year interest rate swap, with semiannual settlement, to pay a fixed rate of 8% per year and receive 6-month LIBOR. The notional principal is $50,000,000.
-Refer to Exhibit 23.7.Assume that one year later the fixed rate on a new 3-year receive fixed pay floating LIBOR swap has fallen to 7% per year.Settlement is on a semiannual basis.Calculate the market value of the FRN based on $100 face value.

• A) $102.66
• B) $100.00
• C) $95.56
• D) $89.63
• E) $70.77

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