Under the terms of an interest rate swap, a financial institution has agreed to pay 10 % per annum and to receive three-month LIBOR in return on a notional principal of 100 million with payments being exchanged every three months. The swap has a remaining life of 14 months. The average of the bid and offer fixed rates currently being swapped for three-month LIBOR is 12 % per annum for all maturities. The three-month LIBOR rate one month ago was 11.8 % per annum. All rates are compounded quarter
Under the terms of an interest rate swap, a financial institution has a…
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