NakedPuts2011

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.

strikethree

B) 230,400

(0.06-0.044)*1.2*12,000,000

Just made it all up, no idea really

jmh530

Its C for sure...

$12 mio * [(6% - 4.4%)/2]

Zestt

i feel there something missing out here ... JMI has a 'pay floating' obligation in first place.

to hedge, he must take the 'receive floating, pay fixed' side. there's no info on any receive floating leg of transaction. ???