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Plain Vanilla Interest Rate Swap Details

This document outlines the terms of a plain vanilla interest rate swap agreement between two parties. It involves the exchange of fixed interest rate payments for floating interest rate payments based on LIBOR, calculated on a notional principal of $50 million over a period of 4 years. The fixed rate to be paid is 3.5012183413% per year, while the floating rate paid is LIBOR plus 10 basis points. Both parties will make payments to one another on a semiannual basis.

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Nidhi Kaushik
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64 views2 pages

Plain Vanilla Interest Rate Swap Details

This document outlines the terms of a plain vanilla interest rate swap agreement between two parties. It involves the exchange of fixed interest rate payments for floating interest rate payments based on LIBOR, calculated on a notional principal of $50 million over a period of 4 years. The fixed rate to be paid is 3.5012183413% per year, while the floating rate paid is LIBOR plus 10 basis points. Both parties will make payments to one another on a semiannual basis.

Uploaded by

Nidhi Kaushik
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
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Plain Vanilla Interest Rate Swap

Notional Amount: 50 million


Maturity: 4 years(1-5)

Fixed Rate
Swap Rate: 3.5012183413 %p.a.
Payment Freq: 4 periods in a year(eg.1,2,4)

floating Rate
Payment Freq: 2 periods in a year(eg.1,2,4)
LIBOR + 10 basis points(a basis point is 0.01%)
Floating Floating Fixed
Maturity LIBOR Rate Payments Payments
0.00 1.5800 1.6800 0.00 0.00
0.25 1.5335 1.6335 0.00 437,652.29
0.50 1.7063 1.8063 451,583.19 437,652.29
0.75 2.8146 2.9146 0.00 437,652.29
1.00 3.9897 4.0897 1,022,437.35 437,652.29
1.25 4.3547 4.4547 0.00 437,652.29
1.50 4.6658 4.7658 1,191,446.73 437,652.29
1.75 3.3325 3.4325 0.00 437,652.29
2.00 1.8102 1.9102 477,540.04 437,652.29
2.25 1.7044 1.8044 0.00 437,652.29
2.50 1.6088 1.7088 427,193.89 437,652.29
2.75 2.9704 3.0704 0.00 437,652.29
3.00 4.4594 4.5594 1,139,844.82 437,652.29
3.25 4.5986 4.6986 0.00 437,652.29
3.50 4.7295 4.8295 1,207,368.93 437,652.29
3.75 4.8030 4.9030 0.00 437,652.29
4.00 4.8669 4.9669 1,241,729.49 437,652.29
4.25 4.9723 5.0723 0.00 0.00
4.50 5.0730 5.1730 0.00 0.00
4.75 5.1781 5.2781 0.00 0.00
5.00 5.2799 5.3799 0.00 0.00
Discount PV of Floating PV of Fixed
Factor Payments Payments
1.0000 0.00 0.00
0.9917 0.00 434,006.64
0.9836 444,193.43 430,490.50
0.9748 0.00 426,637.26
0.9608 982,387.75 420,509.14
0.9416 0.00 412,082.57
0.9211 1,097,394.12 403,104.09
0.8996 0.00 393,722.11
0.8844 422,357.25 387,078.79
0.8761 0.00 383,416.85
0.8682 370,908.07 379,988.51
0.8609 0.00 376,769.44
0.8479 966,441.55 371,072.76
0.8290 0.00 362,802.00
0.8099 977,902.45 354,474.29
0.7908 0.00 346,116.49
0.7719 958,521.30 337,834.49
0.7532 0.00 0.00
0.7346 0.00 0.00
0.7161 0.00 0.00
0.6977 0.00 0.00

6,220,105.93 6,220,105.93

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