XYZ Corporation Enters into a 6-Year Interest Rate Swap with a Swap

question 2

Multiple Choice

XYZ Corporation enters into a 6-year interest rate swap with a swap bank in which it agrees to pay the swap bank a fixed-rate of 9 percent annually on a notional amount of SF10,000,000 and receive LIBOR - ½ percent.As of the third reset date (i.e.mid-way through the 6 year agreement) ,calculate the price of the swap,assuming that the fixed-rate at which XYZ can borrow has increased to 10%.

• A)SF248,685
• B)SF900,000
• C)SF2,700,000
• D)SF7,300,000

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