Gamma Ltd has $100m of floating rate notes on issue. The coupon on the notes is based on 3-month BKBM + 100bp (1%). Gamma's CFO believes the Reserve Bank is likely to increase the OCR repeatedly over the coming months and would like to limit any increase to Gamma's financial expenses. The CFO decides to enter into a 3. year interest rate swap with a swap dealer whereby Gamma pays 5% fixed and receives 6-month BKBM. Calculate the net settlement amounts if the BKBM is 4.00% 5.00% and 6.00%? Indicate the direction of cash- flows in each case. Fill in your answer here Help Gamma Ltd has $100m of floating rate notes on issue. The coupon on the notes is based on 3-month BKBM + 100bp (1%). Gamma's CFO believes the Reserve Bank is likely to increase the OCR repeatedly over the coming months and would like to limit any increase to Gamma's financial expenses. The CFO decides to enter into a 3. year interest rate swap with a swap dealer whereby Gamma pays 5% fixed and receives 6-month BKBM. Calculate the net settlement amounts if the BKBM is 4.00% 5.00% and 6.00%? Indicate the direction of cash- flows in each case. Fill in your answer here Help