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Derivatives- Interest Rate Swap

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P17-13. Citibank and ABM Company enter into a five-year interest rate swap with a notional principal of $100 million and the following terms: every year for the next five years, ABM agrees to pay Citibank 6 percent and receive from Citibank LIBOR. Using the following information about LIBOR at the end of each of the next five years, determine the cash flows in the swap.

Year LIBOR (%)
1 5.0
2 5.5
3 6.2
4 6.0
5 6.4.

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Solution Summary

Cash flows in the interest rate (fixed for floating rate) swap are calculated.

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