Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a $1 million portfolio and the following information:
180-day LIBOR is 4.2%
360-day LIBOR is 4.5%
Div. yield on the portfolio = 1.2%
What is the fixed rate on the swap? A. 4.3232%. B. 4.5143%. C. 4.4477%.
= 0.022239 × 2 = 4.4477%
