Suppose the Quote for a Five-Year Swap with Semiannual Payments

Multiple Choice

Suppose the quote for a five-year swap with semiannual payments is 8.50-8.60 percent. The means

A) the swap bank will pay semiannual fixed-rate dollar payments of 8.60 percent against receiving six-month dollar LIBOR.
B) the swap bank will receive semiannual fixed-rate dollar payments of 8.50 percent against paying six-month dollar LIBOR.
C) if the swap bank is successful in getting counterparties to both legs of the swap at these prices, he will have an annual profit of ten basis points.
D) none of the above