An institutional investor has a five-year portfolio of US dollar-denominated FRNs with average returns of LIBOR +

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An institutional investor has a five-year portfolio of US dollar-denominated FRNs with average returns of LIBOR + 3/4%. The current five-year US dollar interest rate swap quote is 0.65–0.75 and the five-year T-Note currently yields 4.25%

p.a. Please determine at what indicative fixed rate the institutional investor can lock-in the returns on the FRN portfolio for the five-year period.

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Global Derivatives A Strategic Risk Management Perspective

ISBN: 9781526411679

1st Edition

Authors: Torben Juul Andersen

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Question Posted: Nov 08, 2024 04:00 AM

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An institutional investor has a five-year portfolio of US dollar-denominated FRNs with average returns of LIBOR +

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Global Derivatives A Strategic Risk Management Perspective

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