Exhibit 21 -Refer to Exhibit 21

question 80

Multiple Choice

Exhibit 21.3
Use the Information Below for the Following Problem(S)
As a relationship officer for a money-center commercial bank, one of your corporate accounts has just approached you about a one-year loan for $3,000,000. The customer would pay a quarterly interest expense based on the prevailing level of LIBOR at the beginning of each quarter. As is the bank's convention on all such loans, the amount of the interest payment would then be paid at the end of the quarterly cycle when the new rate for the next cycle is determined. You observe the following LIBOR yield curve in the cash market:
$\begin{array}{ll}90 \text {-day LIBOR } & 4.70 \% \\180 \text {-day LIBOR } & 4.85 \% \\\text { 270-day LIBOR } & 5.10 \% \\\text { 360-day LIBOR } & 5.40 \%\end{array}$
-Refer to Exhibit 21.3.Assuming the yields inferred from the Eurodollar futures contract prices for the next three settlement periods are equal to the implied forward rates,calculate the dollar value of the annuity that would leave the bank indifferent between making the floating-rate loan and hedging it in the futures market,and making a one-year fixed-rate loan.

• A) $49,312.36
• B) $35,120.62
• C) $39,036.45
• D) $44,452.36
• E) None of the above

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Definitions:

High Performance

Demonstrating an exceptionally high level of ability, productivity, or effectiveness in a particular task or over a period in a job role.

Long-Term Relationships

Connections or associations between parties, characterized by durability, ongoing interaction, and sustained mutual interest or benefit.

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An entity that supports the education of its community while constantly evolving to improve its adaptability and success.

Training Needs

The gap between current performance and desired performance that can be closed by specific training and development interventions.