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Two firms each need $90 million in funds and go to the market for quotes. They are quoted: for M fixed: 4.9%; floating: BBSW plus
Two firms each need $90 million in funds and go to the market for quotes. They are quoted: for M fixed: 4.9%; floating: BBSW plus 1.8%; for N fixed: 4.3%; floating: BBSW plus 1.5%. If N accepts the fixed-rate funds and M the floating-rate funds, they both decide they can reduce their cost of funds through a swap. Structure a swap where M gets 20% of the gain and N gets 80% of the gain.
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