Swaps
5%
5.2%
Intel MS
LIBOR+0.1%
LIBOR
4.985% 5.015%
5.2%
Intel F.I. MS
LIBOR+0.1
LIBOR LIBOR %
LIBOR
4.985% 5.015%
4.7%
Intel F.I. MS
LIBOR-0.2%
LIBOR LIBOR
Fixed Floating
AAACorp 4.0% 6 month LIBOR 0.1%
BBBCorp 5.2% 6 month LIBOR + 0.6%
4.35%
4%
AAACorp BBBCorp
LIBOR+0.6%
LIBOR
Value = Value = L
L+k*
0 t*
Total 1.5430