You Enter into a Two-Year Variable Notional Swap of Equity

question 8

Multiple Choice

You enter into a two-year variable notional swap of equity returns for 6-month Libor with semi-annual payments on both legs.The initial swap notional is $100 million,the Libor rate at inception of the swap is 7.2%,and the realized raw equity returns during the first 6-month period is 6.3%.The first 6-month period has 183 days.The notional principal of the swap entering the second 6-month period is

• A)$103.15 million.
• B)$103.20 million.
• C)$103.66 million.
• D)$106.3 million.

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