Split between the two parties and exchange rate risk

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Company A can borrow yen at 12.6 percent and dollars at 11.2 percent. Company B can borrow yen at 11.6 percent and dollars at 10.867 percent. If A would like to borrow yen and B would like to borrow dollars. The financial intermediary charges a fee of 0.1. The gain is evenly split between the two parties and exchange rate risk assumed by the intermediary. Design a swap. What is company A’s yen rate leg and B’s dollar rate leg in the swap? a. A: receive 12.217 percent yen, B: receive 10.483 percent dollars b. A: pay 10.817 percent yen, B: pay 11.217 percent dollars c. A: pay 12.317 percent yen, B: pay 10.583 percent dollars d. A: receive 10.917 percent yen, B: receive 11.317 percent dollars

Reference no: EM131500208

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