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The six month LIBOR is 15% per annum with continuous compounding for all maturities. Under the terms of an interest rate swap, SABIC Financial has agreed to pay 8% per annum and to receive six-month LIBOR in return on a notional principal of $150 Million with payments being exchanged every six months. The swap has a remaining life of fifteen months. The six-month LIBOR at the last payment date was 6% per annum.

1) When was the last (i.e., most recent) payment made?

2) What are the remaining payment dates?

3) What is the value of the fixed-rate bond?

4) What is the value of the floating-rate bond?

5) What is the value of the swap to SABIC Financial?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92757545

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