An investor has a five-year portfolio of US dollar-denominated floating rate notes paying six-month LIBOR + 7/8%.

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An investor has a five-year portfolio of US dollar-denominated floating rate notes paying six-month LIBOR + 7/8%. The five-year fixed–floating interest rate swap is quoted at 0.45–0.55 and the five-year US treasury rate is 3.85%.

Determine the total fixed rate interest rate payments received on the portfolio if the company engages in an interest rate swap.

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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 investor has a five-year portfolio of US dollar-denominated floating rate notes paying six-month LIBOR + 7/8%.

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Global Derivatives A Strategic Risk Management Perspective

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