Chartered Financial Analyst Level 2
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Six months ago, a company entered into a 2-year, £10 million pay-fixed, receive-equity swap with the FTSE 250 as the reference index. The company's analyst gathers the following information:
- Fixed swap rate: 1.5%
- Swap reset frequency: Semiannual
- FTSE 250 Index price at swap initiation: 7,250
- Current FTSE 250 Index price: 7,500
- 0.5-year spot rate: 1.2%
- 1.0-year spot rate: 1.4%
- 1.5-year spot rate: 1.7%
The current fair value of this swap to the company is closest to:
Six months ago, a company entered into a 2-year, £10 million pay-fixed, receive-equity swap with the FTSE 250 as the reference index. The company's analyst gathers the following information:
- Fixed swap rate: 1.5%
- Swap reset frequency: Semiannual
- FTSE 250 Index price at swap initiation: 7,250
- Current FTSE 250 Index price: 7,500
- 0.5-year spot rate: 1.2%
- 1.0-year spot rate: 1.4%
- 1.5-year spot rate: 1.7%
The current fair value of this swap to the company is closest to:
Exam-Like
A
£290,164
B
£343,194
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