Structured Interest rate Swap4.1 Your allocated company is currently considering a proposal from an Investment Bank to decrease their cost of funding by entering into a structured interest rate swap....

Structured Interest rate Swap4.1 Your allocated company is currently considering a proposal from an Investment Bank to decrease their cost of funding by entering into a structured interest rate swap. Details of theswap and the cover letter from the investment bank have been supplied individually to eachgroup.You need to address the following questions as part of your analysis:
· Demonstrate your understanding of the structured swap by discussing the characteristics of the swap in your own words.
· Analyse the cash flows of the swap discussed in the investment bank proposal.
· Estimate the net cost of borrowing, if the swap was to proceed, for the debt and the swap referred to in the investment bank proposal.
· Using the data supplied regarding historical interest rate yields, perform a quantitative analysis using appropriate risk control techniques to assess the risk embedded in the structure.
· Discuss whether your allocated company should proceed with the proposal.


USD LIBOR observation_dateUSD 3 MTH LIBORUSD 6 MTH LIBORUSD 12 MTH LIBOR 1986-01-028.000008.000008.06250 1986-01-038.062508.062508.12500 1986-01-068.125008.125008.12500 1986-01-078.125008.125008.12500 1986-01-088.000008.000008.06250 1986-01-098.187508.187508.31250 1986-01-108.250008.250008.37500 1986-01-138.375008.375008.56250 1986-01-148.375008.375008.62500 1986-01-158.250008.250008.50000 1986-01-168.187508.187508.37500 1986-01-178.187508.187508.31250 1986-01-208.250008.250008.50000 1986-01-218.187508.187508.37500 1986-01-228.187508.187508.37500 1986-01-238.187508.250008.43750 1986-01-248.187508.187508.37500 1986-01-278.125008.125008.31250 1986-01-288.062508.125008.25000 1986-01-298.062508.062508.25000 1986-01-308.062508.125008.25000 1986-01-318.062508.125008.25000 1986-02-038.062508.062508.25000 1986-02-048.062508.062508.21880 1986-02-058.000008.000008.18250 1986-02-068.000008.031008.18250 1986-02-078.062508.062508.25000 1986-02-108.125008.125008.31250 1986-02-118.062508.125008.31250 1986-02-128.062508.125008.28130 1986-02-138.062508.125008.25000 1986-02-148.062508.062508.25000 1986-02-178.000008.000008.12500 1986-02-188.000008.000008.09380 1986-02-198.000008.000008.12500 1986-02-208.000008.000008.12500 1986-02-218.000008.000008.12500 1986-02-248.000008.000008.12500 1986-02-257.937507.969008.06250 1986-02-268.000008.000008.06250 1986-02-277.937507.937508.00000 1986-02-287.875007.875007.93750 1986-03-037.875007.875007.93750 1986-03-047.750007.750007.81250 1986-03-057.687507.687507.75000 1986-03-067.687507.687507.75000 1986-03-077.562507.562507.68750 1986-03-107.562507.562507.62500 1986-03-117.500007.500007.50000 1986-03-127.437507.437507.43750 1986-03-137.500007.437507.50000 1986-03-147.500007.500007.50000 1986-03-177.500007.500007.50000 1986-03-187.500007.468807.50000 1986-03-197.562507.500007.50000 1986-03-207.562507.500007.56250 1986-03-217.500007.500007.53130 1986-03-247.562507.500007.56250 1986-03-257.562507.500007.53130 1986-03-267.562507.500007.50000 1986-03-277.437507.437507.43750 1986-03-287.437507.437507.43750 1986-03-317.437507.437507.43750 1986-04-017.312507.187507.18750 1986-04-027.312507.187507.18750 1986-04-037.312507.187507.25000 1986-04-047.347507.250007.28130 1986-04-077.250007.187507.18750 1986-04-087.062507.062507.06250 1986-04-096.875006.875006.87500 1986-04-106.875006.875006.93750 1986-04-116.875006.875006.87500 1986-04-146.875006.875006.87500 1986-04-156.812506.812506.87500 1986-04-166.750006.718806.75000 1986-04-176.562506.562506.56250 1986-04-186.625006.625006.62500 1986-04-216.687506.687506.68750 1986-04-226.750006.750006.75000 1986-04-236.812506.812506.87500 1986-04-246.812506.812506.87500 1986-04-256.937506.937507.00000 1986-04-287.000006.937507.03130 1986-04-296.875006.875007.00000 1986-04-306.875006.875006.93750 1986-05-016.875006.875006.93750 1986-05-026.937506.937507.00000 1986-05-056.937506.937507.00000 1986-05-066.812506.812506.87500 1986-05-076.812506.812506.87500 1986-05-086.812506.812506.87500 1986-05-096.843806.812506.87500 1986-05-126.937506.875007.00000 1986-05-137.062507.062507.18750 1986-05-146.937506.937507.00000 1986-05-157.000007.000007.12500 1986-05-167.125007.125007.25000 1986-05-197.125007.125007.31250 1986-05-207.187507.187507.37500 1986-05-217.062507.125007.25000 1986-05-227.062507.093807.25000 1986-05-237.062507.062507.25000 1986-05-267.062507.062507.25000 1986-05-277.062507.062507.18750 1986-05-287.000007.031307.18750 1986-05-297.062507.062507.25000 1986-05-307.125007.187507.37500 1986-06-027.125007.187507.37500 1986-06-037.187507.312507.50000 1986-06-047.187507.187507.43750 1986-06-057.187507.250007.50000 1986-06-067.187507.250007.50000 1986-06-097.062507.110007.31250 1986-06-107.125007.187507.37500 1986-06-117.125007.187507.37500 1986-06-127.125007.187507.37500 1986-06-137.125007.156307.37500 1986-06-167.031307.062507.25000 1986-06-177.000007.000007.18750 1986-06-187.000007.000007.12500 1986-06-197.000007.000007.12500 1986-06-207.062507.062507.21880 1986-06-237.062507.062507.18750 1986-06-247.000007.000007.12500 1986-06-256.937506.937507.00000 1986-06-267.000006.984407.06250 1986-06-276.937506.937507.00000 1986-06-306.875006.875006.93750 1986-07-016.812506.812506.87500 1986-07-026.812506.812506.87500 1986-07-036.812506.812506.87500 1986-07-046.765606.765606.81250 1986-07-076.750006.750006.81250 1986-07-086.750006.750006.81250 1986-07-096.812506.812506.87500 1986-07-106.750006.750006.81250 1986-07-116.687506.687506.75000 1986-07-146.687506.687506.75000 1986-07-156.562506.562506.62500 1986-07-166.562506.562506.62500 1986-07-176.578106.593806.68750 1986-07-186.625006.625006.68750 1986-07-216.562506.562506.62500 1986-07-226.562506.562506.62500 1986-07-236.562506.562506.65630 1986-07-246.625006.625006.68750 1986-07-256.625006.625006.75000 1986-07-286.625006.625006.75000 1986-07-296.625006.625006.75000 1986-07-306.562506.562506.68750 1986-07-316.562506.562506.68750 1986-08-016.437506.437506.56250 1986-08-046.500006.500006.56250 1986-08-056.500006.500006.56250 1986-08-066.500006.500006.62500 1986-08-076.500006.500006.62500 1986-08-086.437506.437506.56250 1986-08-116.437506.437506.50000 1986-08-126.375006.312506.43750 1986-08-136.250006.250006.37500 1986-08-146.187506.187506.25000 1986-08-156.187506.187506.28130 1986-08-186.187506.187506.28130 1986-08-196.187506.187506.28130 1986-08-206.062506.062506.18750 1986-08-216.000006.000006.06250 1986-08-225.937505.937506.00000 1986-08-255.937505.937506.00000 1986-08-265.875005.875005.93750 1986-08-275.750005.750005.87500 1986-08-285.812505.812505.93750 1986-08-295.812505.750005.87500 1986-09-015.625005.562505.62500 1986-09-025.625005.625005.71880 1986-09-035.750005.750005.87500 1986-09-045.812505.812505.93750 1986-09-055.750005.750005.87500 1986-09-086.000006.000006.12500 1986-09-096.062506.046906.18750 1986-09-105.937505.937506.12500 1986-09-116.000006.000006.18750 1986-09-126.187506.187506.37550 1986-09-156.062506.062506.25000 1986-09-166.062506.062506.25000 1986-09-176.125006.125006.31250 1986-09-186.062506.062506.23440 1986-09-196.125006.125006.37500 1986-09-226.125006.140606.37500 1986-09-236.125006.125006.32810 1986-09-246.125006.125006.31250 1986-09-256.062506.062506.18750 1986-09-266.062506.062506.25000 1986-09-296.125006.187506.31250 1986-09-306.125006.125006.31250 1986-10-016.109406.109406.25000 1986-10-026.062506.062506.18750 1986-10-036.062506.062506.18750 1986-10-065.937505.937506.06250 1986-10-075.875005.875006.00000 1986-10-085.875005.875006.00000 1986-10-095.875005.875006.00000 1986-10-105.875005.875006.00000 1986-10-135.937505.937506.06250 1986-10-145.937505.937506.06250 1986-10-156.000006.000006.12500 1986-10-166.000006.000006.12500 1986-10-176.000006.062506.18750 1986-10-206.125006.125006.31250 1986-10-216.125006.125006.31250 1986-10-226.062506.062506.25000 1986-10-236.062506.062506.25000 1986-10-246.062506.062506.18750 1986-10-276.062506.062506.20310 1986-10-286.062506.062506.18750 1986-10-296.062506.062506.18750 1986-10-305.875005.875006.00000 1986-10-315.937505.937506.04690 1986-11-035.937505.937506.06250 1986-11-046.000006.000006.09380 1986-11-056.031306.000006.12500 1986-11-066.000006.000006.12500 1986-11-076.062506.062506.18750 1986-11-106.125006.125006.25000 1986-11-116.125006.125006.25000 1986-11-126.125006.125006.25000 1986-11-136.062506.062506.18750 1986-11-146.062506.062506.18750 1986-11-176.062506.062506.18750 1986-11-186.125006.093806.18750 1986-11-196.125006.125006.18750 1986-11-206.125006.062506.12500 1986-11-216.125006.062506.17190 1986-11-246.125006.062506.12500 1986-11-256.125006.062506.09380 1986-11-266.125006.062506.12500 1986-11-276.125006.062506.12500 1986-11-286.125006.062506.12500 1986-12-016.187506.125006.12500 1986-12-026.187506.125006.18750 1986-12-036.187506.125006.18750 1986-12-046.187506.125006.17190 1986-12-056.125006.062506.06250 1986-12-086.187506.125006.12500 1986-12-096.187506.125006.12500 1986-12-106.187506.125006.12500 1986-12-116.187506.125006.12500 1986-12-126.187506.125006.12500 1986-12-156.250006.187506.25000 1986-12-166.375006.250006.25000 1986-12-176.500006.312506.31250 1986-12-186.437506.250006.25000 1986-12-196.562506.375006.31250 1986-12-226.875006.578106.50000 1986-12-236.750006.437506.37500 1986-12-246.562506.312506.31250 1986-12-256.562506.312506.31250 1986-12-266.562506.312506.31250 1986-12-296.734406.375006.31250 1986-12-306.734406.375006.31250 1986-12-316.437506.312506.31250 1987-01-016.437506.312506.31250 1987-01-026.312506.250006.25000 1987-01-056.250006.250006.25000 1987-01-066.250006.187506.18750 1987-01-076.250006.187506.18750 1987-01-086.125006.125006.12500 1987-01-096.125006.062506.06250 1987-01-126.125006.125006.12500 1987-01-136.234386.187506.18750 1987-01-146.250006.187506.18750 1987-01-156.187506.187506.18750 1987-01-166.187506.125006.18750 1987-01-196.250006.187506.18750 1987-01-206.187506.187506.18750 1987-01-216.187506.125006.15625 1987-01-226.187506.125006.17188 1987-01-236.187506.125006.12500 1987-01-266.250006.187506.20313 1987-01-276.250006.250006.25000 1987-01-286.250006.250006.29688 1987-01-296.250006.250006.26563 1987-01-306.250006.234386.25000 1987-02-026.312506.312506.31250 1987-02-036.312506.312506.31250 1987-02-046.281256.281256.31250 1987-02-056.250006.250006.31250 1987-02-066.250006.250006.31250 1987-02-096.312506.312506.37500 1987-02-106.437506.437506.50000 1987-02-116.562506.562506.62500 1987-02-126.562506.562506.62500 1987-02-136.468756.484386.51563 1987-02-166.562506.562506.62500 1987-02-176.687506.687506.75000 1987-02-186.625006.625006.75000 1987-02-196.500006.500006.56250 1987-02-206.437506.437506.50000 1987-02-236.500006.437506.51563 1987-02-246.500006.500006.56250 1987-02-256.468756.437506.50000 1987-02-266.437506.437506.53125 1987-02-276.437506.437506.56250 1987-03-026.437506.437506.50000 1987-03-036.437506.437506.50000 1987-03-046.437506.437506.50000 1987-03-056.375006.375006.43750 1987-03-066.375006.375006.43750 1987-03-096.500006.500006.56250 1987-03-106.500006.500006.62500 1987-03-116.562506.562506.62500 1987-03-126.500006.515636.62500 1987-03-136.500006.500006.62500 1987-03-166.500006.500006.56250 1987-03-176.500006.500006.56250 1987-03-186.500006.500006.56250 1987-03-196.500006.500006.56250 1987-03-206.437506.437506.56250 1987-03-236.437506.437506.56250 1987-03-246.562506.562506.65625 1987-03-256.500006.500006.62500 1987-03-266.500006.500006.62500 1987-03-276.500006.500006.62500 1987-03-306.625006.625006.75000 1987-03-316.687506.687506.81250 1987-04-016.687506.750006.87500 1987-04-026.625006.687506.81250 1987-04-036.625006.750006.93750 1987-04-066.562506.625006.81250 1987-04-076.562506.671886.85938 1987-04-086.562506.687506.87500 1987-04-096.562506.687506.87500 1987-04-106.687506.875007.12500 1987-04-136.875007.000007.31250 1987-04-147.187507.375007.68750 1987-04-157.046887.125007.43750 1987-04-166.875006.937507.31250 1987-04-176.875006.937507.31250 1987-04-206.875006.937507.31250 1987-04-217.000007.125007.50000 1987-04-226.937507.125007.50000 1987-04-237.000007.187507.62500 1987-04-247.062507.250007.70313 1987-04-277.218757.453137.93750 1987-04-287.125007.375007.75000 1987-04-297.062507.312507.75000 1987-04-307.125007.375007.81250 1987-05-017.187507.375007.75000 1987-05-047.187507.375007.75000 1987-05-057.312507.562508.00000 1987-05-067.312507.500007.93750 1987-05-077.250007.500007.93750 1987-05-087.250007.437507.87500 1987-05-117.187507.375007.81250 1987-05-127.250007.500007.93750 1987-05-137.187507.437507.87500 1987-05-147.250007.500007.93750 1987-05-157.250007.500008.00000 1987-05-187.562507.812508.31250 1987-05-197.562507.812508.31250 1987-05-207.687508.000008.62500 1987-05-217.625007.937508.50000 1987-05-227.625007.937508.51563 1987-05-257.625007.937508.51563 1987-05-267.375007.625008.18750 1987-05-277.312507.562508.06250 1987-05-287.375007.625008.10938 1987-05-297.375007.625008.06250 1987-06-017.250007.437507.87500 1987-06-027.312507.562508.06250 1987-06-037.375007.625008.18750 1987-06-047.312507.562508.06250 1987-06-057.312507.625008.12500 1987-06-087.312507.562508.06250 1987-06-097.312507.625008.12500 1987-06-107.312507.625008.12500 1987-06-117.250007.562508.01563 1987-06-127.250007.500008.00000 1987-06-157.125007.312507.68750 1987-06-167.187507.375007.75000 1987-06-177.187507.375007.75000 1987-06-187.187507.375007.75000 1987-06-197.250007.437507.78125 1987-06-227.187507.375007.70313 1987-06-237.125007.312507.62500 1987-06-247.187507.375007.68750 1987-06-257.187507.375007.68750 1987-06-267.187507.375007.68750 1987-06-297.250007.437507.81250 1987-06-307.187507.375007.75000 1987-07-017.187507.375007.68750 1987-07-027.062507.250007.56250 1987-07-037.000007.187507.50000 1987-07-067.000007.125007.43750 1987-07-077.062507.187507.50000 1987-07-087.000007.125007.43750 1987-07-097.000007.187507.50000 1987-07-107.000007.187507.51563 1987-07-136.937507.062507.43750 1987-07-146.968757.125007.50000 1987-07-156.906257.062507.37500 1987-07-166.937507.125007.50000 1987-07-176.937507.062507.43750 1987-07-206.875007.062507.37500 1987-07-216.875007.062507.43750 1987-07-226.937507.125007.50000 1987-07-237.000007.187507.62500 1987-07-247.000007.250007.62500 1987-07-277.062507.250007.68750 1987-07-287.062507.250007.68750 1987-07-297.015637.250007.68750 1987-07-307.000007.250007.68750 1987-07-317.000007.250007.68750 1987-08-037.062507.312507.81250 1987-08-047.187507.437507.93750 1987-08-057.062507.312507.81250 1987-08-067.062507.312507.75000 1987-08-077.062507.312507.75000 1987-08-107.062507.312507.75000 1987-08-117.000007.250007.75000 1987-08-127.000007.250007.68750 1987-08-136.937507.250007.68750 1987-08-146.937507.187507.56250 1987-08-176.937507.187507.56250 1987-08-187.000007.250007.68750 1987-08-197.062507.281257.75000 1987-08-207.062507.312507.75000 1987-08-217.062507.312507.75000 1987-08-247.062507.250007.75000 1987-08-257.000007.250007.75000 1987-08-267.000007.250007.75000 1987-08-277.062507.312507.81250 1987-08-287.187507.437507.93750 1987-08-317.187507.437507.93750 1987-09-017.312507.562508.06250 1987-09-027.312507.625008.18750 1987-09-037.312507.687508.25000 1987-09-047.312507.687508.25000 1987-09-077.562508.000008.50000 1987-09-087.625008.000008.56250 1987-09-097.687508.125008.75000 1987-09-107.562508.000008.56250 1987-09-117.562508.000008.56250 1987-09-147.500007.937508.50000 1987-09-157.562508.000008.56250 1987-09-167.656258.125008.75000 1987-09-177.687508.125008.68750 1987-09-187.687508.062508.62500 1987-09-217.625008.000008.56250 1987-09-227.687508.062508.62500 1987-09-237.625008.000008.56250 1987-09-247.687508.062508.62500 1987-09-257.687508.125008.68750 1987-09-287.812508.187508.68750 1987-09-298.062508.312508.75000 1987-09-308.375008.500009.00000 1987-10-018.250008.437508.93750 1987-10-028.312508.500009.00000 1987-10-058.312508.500009.00000 1987-10-068.375008.562509.06250 1987-10-078.562508.750009.18750 1987-10-088.562508.750009.18750 1987-10-098.812509.000009.43750 1987-10-128.875009.062509.51563 1987-10-138.875009.000009.43750 1987-10-148.875008.937509.31250 1987-10-159.187509.312509.75000 1987-10-169.187509.312509.75000 1987-10-199.312509.437509.87500 1987-10-208.875008.890639.25000 1987-10-218.187508.250008.59375 1987-10-228.125008.187508.56250 1987-10-237.687507.687508.06250 1987-10-267.687507.687508.00000 1987-10-277.875007.875008.18750 1987-10-287.875007.937508.25000 1987-10-297.750007.750008.06250 1987-10-307.625007.625008.00000 1987-11-027.750007.750008.12500 1987-11-037.750007.750008.12500 1987-11-047.562507.562507.93750 1987-11-057.312507.375007.75000 1987-11-067.187507.250007.68750 1987-11-097.375007.437507.87500 1987-11-107.437507.500007.87500 1987-11-117.375007.437507.81250 1987-11-127.375007.500007.87500 1987-11-137.437507.500007.87500 1987-11-167.500007.562507.93750 1987-11-177.625007.687508.06250 1987-11-187.500007.562507.93750 1987-11-197.500007.562507.93750 1987-11-207.500007.500007.93750 1987-11-237.500007.500007.93750 1987-11-247.500007.500007.87500 1987-11-257.562507.562507.93750 1987-11-267.687507.687508.00000 1987-11-277.750007.750008