Kinin Osaka Ginko is a Japanese regional bank, focused on retail and mid-sized commercial banking for domestic firms. Kinkin Osaka Ginko's main source of funding is retail deposits denominated in Japanese Yen. Ginko pays its depositors a floating rate of interest based on 6-month Yen Libor. The bank mostly lends to its commercial and retail clients on a fixed rate basis. The Bank's Treasurer, Sam Matsui, is Increasingly concerned with the interest rate mismatch between the firm's funding source and its assets.

11. Assume IPY swaps are quoted at a spread against Japanese Government Bonds. If the 5y Japanese Government bond is yielding

-0.111% and the 5y swap spread is -0.450%, the 5y swap rate will be closest to (Tip: Here, the interest rate in Japan is negative) A. -0.56% . 0.34% C. -1.45%