Suppose ABC Investment Banker Ltd.,is quoting swap rates as follows: 7.50 − 7.85 annually against six-month dollar LIBOR for dollars,and 11.00 percent−11.30 percent annually against six-month dollar LIBOR for British pound sterling.ABC would enter into a $/£ currency swap in which:

Question

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The swap rate quoted by ABC Investment Banker Ltd. for a $/£ currency swap is 7.50 − 7.85 annually against six-month dollar LIBOR for dollars, and 11.00 percent−11.30 percent annually against six-month dollar LIBOR for British pound sterling.
Therefore, ABC would pay annual fixed-rate dollar payments of 7.5 percent in return for receiving annual fixed-rate £ payments at 11.3 percent.
At the same time, it will receive annual fixed-rate dollar payments at 7.85 percent against paying annual fixed-rate £ payments at 11 percent.
Hence, option C is the best choice.