examiners aricle on interest risk (sept2011)

Ffurhana14y ago

how does he calculate the interest on the loan i got 348500 at interest rate of 6.97 %.please help am confused thanks and what futures rate is he selling at we are buying at 93.790 are we selling at 94 or 93.870?

Bbridmw14y ago#1

Where are you getting 6.97%. Current LIBOR is 6% and the range used is 5.5% to 7%, the 90bp margin over LIBOR doesn't change.

He sells the March futures at 93.870