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On the expiry date of the swaption, HCB would like to convert the floating-loan-and-receiver-swap (i.e. the synthetic fixed-rate loan to FTS) back into a floating
On the expiry date of the swaption, HCB would like to convert the floating-loan-and-receiver-swap (i.e. the synthetic fixed-rate loan to FTS) back into a floating loan to FTS. Describe the transactions that HCB should enter into to achieve this goal and the cash flows between all counterparties for two scenarios:
- The market swap rate is less than or equal to 6%.
- The market swap rate is greater than 6%.
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