Interest Rate Swap (Question)

CFA Level II Derivatives
#1

Hello! I need help in solving this question. My answer is “c”.

  1. Consider the following interest rate swap scenario: notional =$10MM, actual days in quarter=92, annualized floating rate = 2.5400%, and annualized fixed rate = 2.5400%. What is the floating leg payment?

a. $62,088.89

b .$65,0911.89

c. $64,911.11

d. $127,000

I’m having some trouble finding the correct answer. I wonder if anyone here can help me solve this question.

#2

Without knowing the day convention they’re using, we cannot answer the question.

It appears that they’re using actual/360, and, further, that the quoted rate is a nominal rate compounded quarterly. Is that so? If so, then the answer is c.

Where did you get this question?