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Consider a 1-year quarterly-pay $1,000,000 equity swap based on 90-day London Interbank Offered Rate (LIBOR) and an index return. Current LIBOR is 3.0% and the index is at 840. Below are the index level and LIBOR at each of the four settlement dates on the swap.
At the final settlement date, the equity-return payer will: A. receive $97. B. receive $16,903. C. pay $16,903. |