Hi
I’m currently looking into a total return equity index swap. Ive been quoted two rates. One in local (NZD) and the other in USD as follows:
-
NZ 3 month rate being 3.23% plus 0.65% for a total of 3.88%
-
3 Month libor being 0.29% plus 0.25% for a total of 0.54%
Now obviously I want to settle the contract in USD and pay the 0.54% which is far less and receive the index. But obviously theres no free lunch so what am I missing?
Thanks