1. 1. ] STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-month SAIBOR in return on a notional principal of SAR 100 million with payments being exchanged every three months. The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different maturities:

Maturity	SAIBOR Rates
0.25	3.25%
0.5	3.4%
0.75	3.55%
1	3.7%
1.25	3.8%

The three-month SAIBOR rate three months ago, when the last swap payment was made, was 4.02% per annum. OIS rates are the zero rates you obtained in question 1. All SAIBOR rates are compounded quarterly. What is the value of the swap?

1. 2. [8 points] Adidas AG, a German multinational, wishes to borrow U.S. dollars at a fixed rate of interest. Nike Inc., a U.S. multinational, wishes to borrow euros at a fixed rate of interest. They have been quoted the following rates per annum (adjusted for differential tax effects):

	Euros	US Dollars
Adidas	4.6%	7.36%
Nike	6.4%	8.16%

Deutsche Bank will act as an intermediary; it requires 8 basis points per annum to facilitate the swap. Design a swap that will produce a gain of 18 basis points per annum for each of the two companies.