Companies A and B have been offered the following rates per annum on a $20 million five-year

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Companies A and B have been offered the following rates per annum on a $20 million five-year loan:

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Company A requires a floating-rate loan; Company B requires a fixed-rate loan. Design a swap that will net a bank, acting as intermediary, 0.1% per annum and that will appear equally attractive to both companies.

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Fundamentals Of Futures And Options Markets

ISBN: 9780134083247

9th Edition

Authors: John Hull

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Question Posted: Jul 26, 2024 07:00 AM

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Companies A and B have been offered the following rates per annum on a $20 million five-year

Question:

Fixed rate Floating rate Company A Company B 5.0% LIBOR +0.1% 6.4% LIBOR +0.6%

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Fundamentals Of Futures And Options Markets

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