CFA Examination Level II-To protect the value of the Star Hospital Pension Plan s bond portfolio.. | Homework Help
Chapter 23 question 2
2. CFA Examination Level II
To protect the value of the Star Hospital Pension Plan”s bond portfolio against the rising interest rates that she expects, Sandra Kapple enters into a one-year pay fixed, receive floating U.S. LIBOR interest rate swap, as described in the following table.
U.S. LIBOR Interest Rate Swap Terms
1-year Fixed Rate (annualized) 1.5%
90-day U.S. LIBOR Rate [L0(90)] (annualized) 1.1%
Notional Principal $1
Day Count Convention 90/360
Note: Li(m) is the m-day LIBOR on Day i.
Sixty days have passed since initiation of the swap, and interest rates have changed. Kapple is concerned that the value of her swap has also changed. The U.S. LIBOR term structure and present value factors of interest rates are described in this table:
U.S. LIBOR TERM STRUCTURE AND PRESENT VALUE FACTORS (60 DAYS AFTER SWAP INITIATION)
U.S. LIBOR Term Structure (annualized) Present Value Factors
L60(30) = 1.25 percent 0.9990
L60(120) = 1.50 percent 0.9950
L60(210) = 1.75 percent 0.9899
L60(300) = 2.00 percent 0.9836
Note: Li(m) is the m-day LIBOR on Day i
Calculate the dollar market value of the interest rate swap entered into by Kapple, at 60 days after the initiation of the swap and using a $1 notional principal. Show your calculations.
We've got everything to become your favourite writing service
Money back guarantee
Your money is safe. Even if we fail to satisfy your expectations, you can always request a refund and get your money back.
We don’t share your private information with anyone. What happens on our website stays on our website.
Our service is legit
We provide you with a sample paper on the topic you need, and this kind of academic assistance is perfectly legitimate.
Get a plagiarism-free paper
We check every paper with our plagiarism-detection software, so you get a unique paper written for your particular purposes.
We can help with urgent tasks
Need a paper tomorrow? We can write it even while you’re sleeping. Place an order now and get your paper in 8 hours.
Pay a fair price
Our prices depend on urgency. If you want a cheap essay, place your order in advance. Our prices start from $11 per page.