It Is March 15, and the Next Payment Date in an Equity

question 22

Multiple Choice

It is March 15, and the next payment date in an equity swap is September 15. You contract through an equity swap ($100,000 notional) to receive Libor and pay the equity return. Libor payments use the money market convention, i.e., ACT/360. Suppose the equity index goes from 1011 to 1088 over this period. The six-month Libor on March 15 is 3%. What is your net cashflow on September 15?

• A) \(+ 1,533.33\)
• B) \(- 7,616.22\)
• C) \(- 6,082.89\)
• D) \(+ 3,113.33\)