Citibank and ABM Company enter into a five-year interest rate swap with a notional principal of $100 million and the following terms:
every year for the next five years, ABM agrees to pay Citibank 6 percent and receive from Citibank LIBOR.
Using the following information about LIBOR at the end of each of the next fi ve years, determine the cash flows in the swap.
|
Year
|
LIBOR(%)
|
|
1
|
5.0
|
|
2
|
5.5
|
|
3
|
6.2
|
|
4
|
6.0
|
|
5
|
6.4
|