Cash Flows to Company B 5.5 (See Table 5.1, page 123) -----Millions of dollars LIBOR FLOATING FIXED Date Rate Cash flow Cash Flow Cash Flow Mar.1,199942% Sept.1,19994.8% +2.10-2.50 0.40 Mar.1.20005.3% +2.40 2.50 0.10 Sept.1,20005.5% +2.65 2.50 +0.15 Mar.1,200156% 2.75 2.50 +0.25 Sept.1,200159% +2.80 -2.50 +0.30 Mar.1,.20026.4% +2.95 2.50 +0.45 Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, Shanghai Normal UniversityOptions, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, Shanghai Normal University 5.5 ---------Millions of Dollars--------- LIBOR FLOATING FIXED Net Date Rate Cash Flow Cash Flow Cash Flow Mar.1, 1999 4.2% Sept. 1, 1999 4.8% +2.10 –2.50 –0.40 Mar.1, 2000 5.3% +2.40 –2.50 –0.10 Sept. 1, 2000 5.5% +2.65 –2.50 +0.15 Mar.1, 2001 5.6% +2.75 –2.50 +0.25 Sept. 1, 2001 5.9% +2.80 –2.50 +0.30 Mar.1, 2002 6.4% +2.95 –2.50 +0.45 Cash Flows to Company B (See Table 5.1, page 123)