6. Neiman Marcus (high-end department store) previously borrowed funds from a syndicate of commercial banks at Libor + 300 (3.00%). Several years later, the quarterly payment loan matured in three years and was priced @ 75 in the secondary market (100 par). A hedge fund considered purchasing the loan as an asset and converting to a fixed-rate by application of an interest rate swap. Three-year, floating-pay USD swaps were priced with a bid price @ 1.20% (receive 1.20% and pay three-month Libor) and fixed-pay swaps were priced with an ask price @ 1.23% (pay 1.23% and receive three-month Libor). What was the fixed-rate coupon equivalent of the asset and the effective annual yield given the loan was priced at a large discount from par? What was the likely credit risk or rating of the retailer?4 6. Neiman Marcus (high-end department store) previously borrowed funds from a syndicate of commercial banks at Libor + 300 (3.00%). Several years later, the quarterly payment loan matured in three years and was priced @ 75 in the secondary market (100 par). A hedge fund considered purchasing the loan as an asset and converting to a fixed-rate by application of an interest rate swap. Three-year, floating-pay USD swaps were priced with a bid price @ 1.20% (receive 1.20% and pay three-month Libor) and fixed-pay swaps were priced with an ask price @ 1.23% (pay 1.23% and receive three-month Libor). What was the fixed-rate coupon equivalent of the asset and the effective annual yield given the loan was priced at a large discount from par? What was the likely credit risk or rating of the retailer?4