A company has money invested at 3% for five years. It wishes to use the swap quotes
Question:
A company has money invested at 3% for five years. It wishes to use the swap quotes in Table 5.5 to convert its investment to a floating‐rate investment. Explain how it can do this.
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Table 5.5 Swap Quotes Made by a Market Maker (percent per annum) for SOFR Swaps Maturity (years) Bid Ask Swap Rate 2.55 2.58 2.97 3.00 3.15 3.19 3.26 3.30 2 3 4 5 7 10 3.40 3.44 3.48 3.52 2.565 2.985 3.170 3.280 3.420 3.500
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