In which of the following situations would the swap dealer make a profit of 3 basis points?
A) The dealer receives a fixed rate of 9% from counterparty A but pays a fixed rate of 8.3% to counterparty B
B) The dealer receives a fixed rate of 9% from counterparty A but pays a fixed rate of 6% to counterparty B
C) The dealer receives a fixed rate of 9% from counterparty A but pays a fixed rate of 8.97% to counterparty B
D) The dealer receives a fixed rate of 9% from counterparty A but pays a fixed rate of 8.7% to counterparty B
Correct Answer:
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