A Korean bank’s balance sheet is the following. (Ignore other items.) If the company is afraidof depreciation of US dollar against KRW, what type of swap arrangement do you suggestwhen US interest rate is expected to be stable? What is the amount of the principle of the swaps?
Assets : USD 100 million of a three-year loan at LIBOR+30bp
Liabilities: USD 50 million of a five-year loan at a fixed rate of 6%