Upcoming payments in plain vanilla interest swap

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Reference no: EM131591158

Determine the upcoming payments in a plain vanilla interest swap in which the notional principal is $70 million. The end user makes semiannual fixed payments at the rate of 7%, and the dealer makes semiannual floating payments at Euribor, which was 6.25% on the last settlement period. The floating payments are made on the basis of 180 days in the settlement period and 360 days in a year. The fixed payments are made on the basis of 180 days in the settlement period and 365 days in a year. Payments are netted, so determine which party pays which amount.

Reference no: EM131591158

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