Question: explain how you can replicate the cash flows coming from a 3-year FRN that pays semi-annual coupons of LIBOR +4.5% by rolling 6-month loans made

explain how you can replicate the cash flows coming from a 3-year FRN that pays semi-annual coupons of LIBOR +4.5% by rolling 6-month loans made to borrowers who also pay the spread of 4.5% above LIBOR on their loans.

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