Exhibit 23.9
Use the Information Below for the Following Problem(S)
The Skalmory Corporation has entered into a 3-year interest rate swap, with semiannual settlement, to pay a fixed rate of 7.5% per year and receive 6-month LIBOR. The notional principal is $10,000,000.
-Refer to Exhibit 23.9.Assuming that one year after the swap was initiated the fixed rate on a new 2-year receive fixed pay floating LIBOR swap has fallen to 7% per year,calculate the market value of the 7.5% fixed rate bond based on $100 face value.Settlement is on a semiannual basis.
A) $101.33
B) $100.92
C) $100.00
D) $98.67
E) $95.83

Question

Quizplus · Accepted Answer

$$\text { MV of fixed rate bond } = 3.75 \left[ \frac { 1 - \frac { 1 } { 1.035 ^ { 4 } } } { .035 } \right] + \frac { 100 } { 1.035 ^ { 4 } } = \$ 100.9183$$

Exhibit 23.9 Use the Information Below for the Following Problem(S)