International Financial Management 6th Edition by Sanjiv Eun, Cheol Resnick, Bruce Sabherwal

تمرين 10

Company A is a AAA-rated firm desiring to issue five-year FRNs. It finds that it can issue FRNs at six-month LIBOR +.125 percent or at three-month LIBOR +.125 percent. Given its asset structure, three-month LIBOR is the preferred index. Company B is an A-rated firm that also desires to issue five-year FRNs. It finds it can issue at six-month LIBOR + 1.0 percent or at three-month LIBOR +.625 percent. Given its asset structure, six-month LIBOR is the preferred index. Assume a notional principal of $15,000,000. Determine the QSD and set up a floating-for-floating rate swap where the swap bank receives.125 percent and the two counterparties share the remaining savings equally.