On-market Interest Rate Swap If the dealer's mid-rate for 5-year swaps is 9.45%, (Dealer pays subtract 10

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On-market Interest Rate Swap If the dealer's mid-rate for 5-year swaps is 9.45%, (Dealer pays subtract 10 bpts, dealer receives add 10 bpts) construct a five year plain vanilla interest rate swap between Laurel Ltd and Hardy Ltd who are in the following position:

Income Liability

Laurel Ltd: AUD 10 million AUD 10 million

@AUD libor+2.5% @ 9.0% p.a.

Hardy Ltd: AUD 10 million AUD 10 million

@ 11% p.a. @ AUD libor-0.5%

Diagram all interest flows.

Posted Date: May 18, 2024 11:00 PM

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On-market Interest Rate Swap If the dealer's mid-rate for 5-year swaps is 9.45%, (Dealer pays subtract 10

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