infinitybenzo

chedges Wrote:
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> A.
>
> Its a leveraged floater so the swap and fixed bond
> cant have the same NP as the leveraged floater. it
> needs to be x up by 1.2.
>
> The swap will have a 14.4m NP with Libor on the
> one leg and fixed on the other of 4.4%. This libor
> will cancel with the leverage floater libor.
> leaving the two fixed rates of 6% and 4.4% on a NP
> of 14.4m.
>
> The annual receipt is 230,400. The semi-annual
> receipt is 115,200.


Excellent explanation. thanks.