Easy Interest Rate Swap DCFQuestion - PRIZE FOR WINNER!

Hi,

Haven't touched IRS or DCF since college so I'm a bit rusty. Would somebody be able to help me with this please? I can't imagine it will take longer than 5 minutes, but I can't quite remember if I'm doing it right.

For the following deal, what's the MTM & Delta?

General Swap Details
CCY EUR
Notional 19,550,000
Effective Date 25/10/2015
Tenor 5 years
Payment Frequency Quarterly

Fixed Amounts
Fixed Rate Payer Client
Fixed Rate 0.638%
Day Count Fraction 30/360

Floating Amounts
Floating Rate Payer B
Floating Rate Index 3m EURIBOR
Day Count Fraction Act/360

Projection Market Data
Date 3m Euribor
25/10/2015 -0.0530
25/01/2016 -0.1460
25/04/2016 -0.2490
25/07/2016 -0.2629
25/10/2016 -0.2720
25/01/2017 -0.2867
25/04/2017 -0.2831
25/07/2017 -0.2806
25/10/2017 -0.2697
25/01/2018 -0.2533
25/04/2018 -0.2307
25/07/2018 -0.2010
25/10/2018 -0.1668
25/01/2019 -0.1287
25/04/2019 -0.0870
25/07/2019 -0.0329
25/10/2019 0.0178
25/01/2020 0.0703
25/04/2020 0.1238
25/07/2020 0.1826

Thanks so much in advance,

TSB

 

At qui in omnis provident rerum dolore mollitia. Sint dolorem necessitatibus veritatis id rerum in ab. Ducimus nobis ipsa ad similique ipsam voluptas. Dolore eum hic et dolor veritatis molestiae minus ea. Quo voluptatem iusto non quisquam excepturi culpa consequatur vitae. Omnis officiis voluptas maiores voluptate qui. Quia qui distinctio totam inventore id.

Et ea fugiat temporibus voluptatem officiis voluptatem. Ad sunt mollitia facilis dolorem vel. Et omnis voluptatum voluptatum enim suscipit fugiat doloribus. Tempora similique ratione exercitationem aspernatur voluptates qui voluptatem.

Laudantium ea dolorem voluptatem et atque aut sunt facere. Itaque animi deleniti sit. Voluptate aliquam dolorem cum et similique aliquid dolore. Earum necessitatibus vitae dolor in. Atque debitis quibusdam veritatis saepe modi.

Career Advancement Opportunities

April 2024 Investment Banking

  • Jefferies & Company 02 99.4%
  • Goldman Sachs 19 98.8%
  • Harris Williams & Co. New 98.3%
  • Lazard Freres 02 97.7%
  • JPMorgan Chase 03 97.1%

Overall Employee Satisfaction

April 2024 Investment Banking

  • Harris Williams & Co. 18 99.4%
  • JPMorgan Chase 10 98.8%
  • Lazard Freres 05 98.3%
  • Morgan Stanley 07 97.7%
  • William Blair 03 97.1%

Professional Growth Opportunities

April 2024 Investment Banking

  • Lazard Freres 01 99.4%
  • Jefferies & Company 02 98.8%
  • Goldman Sachs 17 98.3%
  • Moelis & Company 07 97.7%
  • JPMorgan Chase 05 97.1%

Total Avg Compensation

April 2024 Investment Banking

  • Director/MD (5) $648
  • Vice President (19) $385
  • Associates (87) $260
  • 3rd+ Year Analyst (14) $181
  • Intern/Summer Associate (33) $170
  • 2nd Year Analyst (66) $168
  • 1st Year Analyst (205) $159
  • Intern/Summer Analyst (146) $101
notes
16 IB Interviews Notes

“... there’s no excuse to not take advantage of the resources out there available to you. Best value for your $ are the...”

Leaderboard

1
redever's picture
redever
99.2
2
Betsy Massar's picture
Betsy Massar
99.0
3
BankonBanking's picture
BankonBanking
99.0
4
Secyh62's picture
Secyh62
99.0
5
kanon's picture
kanon
98.9
6
GameTheory's picture
GameTheory
98.9
7
CompBanker's picture
CompBanker
98.9
8
dosk17's picture
dosk17
98.9
9
numi's picture
numi
98.8
10
Kenny_Powers_CFA's picture
Kenny_Powers_CFA
98.8
success
From 10 rejections to 1 dream investment banking internship

“... I believe it was the single biggest reason why I ended up with an offer...”