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

Question 51

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 SFr10,000,000 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) SFr248,685
B) SFr900,000
C) SFr2,700,000
D) SFr7,300,000

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