Under the terms of an interest rate swap cat financial has, Ask an Expert

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Under the terms of an interest rate swap, CAT Financial has agreed to receive 12% per annum and to pay three-month LIBOR in return on a notional principal of $200 million with payments being exchanged every three months. The swap has a remaining life of 6 months. The three-month LIBOR is 13% per annum for all maturities. The three-month LIBOR at the last payment date was 11% per annum. What is the value of the swap to CAT Financial?

A. VFX = $398.844m; VFL = 398.929m

B. VFX = $98.844m; VFL = 98.929m

C. VFX = $298.844m; VFL = 298.929m

D. VFX = $198.844m; VFL = 198.929m

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92166900

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