Please answer on excel Enbridge and CP (Canadian Pacific Railway) both need a 3-year loan of $250 million, with Enbridge preferring a fixed rate and CP a floating rate. Some of their borrowing rates with their own banks are given below.

Enbridge: Fixed rate = 6.15% & Floating rate = prime + 1.25%

CP: Fixed rate = ?% & Floating rate = prime + 1.75%

A) Suppose you as a middle party would like to arrange a swap for Enbridge and CP and you require a fee of 15bp. What fixed rate must CP have in order for them to be interested in the swap deal?

B) Design a swap (with you being the middle party) in which your fee is 10pb while Enbridges saving is three times of CPs. Assume CPs fixed rate is 6.35%.

C) Suppose cash flows of the swap in B) are exchanged at the end of each year. Fill out the table below with net cash flows in dollars. Note: the last column is the total net cash flow for the middle party; the second last column is CPs total net cash flow after aggregating the net cash flows with the middle party (third last column) and the cash flow with its own bank (the fourth last column); Enbridges cash flows are defined similarly. Please assume simple compounding. For this question, assume the realized prime rates are 4.85%, 4.50% and 4.15% respectively for the three years. Note: to avoid confusion, please interpret the net cash flow in proper perspectives. For the two companies, since they both borrow money, their cash flows are going out. In other words, positive numbers mean money following out. For the middle party, since it will derive fees from the service, positive numbers mean cash inflows. Please keep this in mind when completing the table

\begin{tabular}{|c|c|c|c|c|c|c|c|} \hline \multirow{2}{*}{ Year } & \multicolumn{3}{|c|}{ Enbridge (ENB) } & \multicolumn{3}{c|}{ CP } & Middle party's \\ \cline { 2 - 8 } & ENB's bank & Middle party & Net total & CP's bank & Middle party & Net total & \\ \hline 1 & & & & & & & \\ \hline 2 & & & & & & & \\ \hline 3 & & & & & & & \\ \hline \end{tabular}