AA assets | liabilities ----------------------------------------------------------------- | Fixed rate borrowing bond 5.375 BBB assets | liabilities ------------------------------------------------------------------------------------- | Flexible rate borrowing, 6-mo LIBOR + 1/4 AA assets | liabilities ----------------------------------------------------------------- | Fixed rate borrowing bond 5.375 Fixed rate 5.50 | LIBOR BBB assets | liabilities ------------------------------------------------------------------------------------- | Flexible rate borrowing, 6-mo LIBOR + 1/4 LIBOR | Fixed rate 5.50 AA assets | liabilities ----------------------------------------------------------------- | Fixed rate borrowing bond 5.375 Fixed rate 5.50 | LIBOR | Swap LIBOR - 1/8 BBB assets | liabilities ------------------------------------------------------------------------------------- | Flexible rate borrowing, 6-mo LIBOR + 1/4 LIBOR | Fixed rate 5.50 Swap | 5.50 + 0.25 = 5.75