Against DDA
Fixed: ZZZ 10% vs DDA 10.5% → ZZZ cheaper by 0.5%
Floating: ZZZ rf+1 vs DDA rf+1.5 → ZZZ cheaper by 0.5%
ZZZ is better in both markets by the same margin → no comparative advantage, little reason for DDA to swap.
Against CCA
Fixed: ZZZ 10% vs CCA 9% → CCA cheaper by 1%
Floating: ZZZ rf+1 vs CCA rf+0.5 → CCA cheaper by 0.5%
CCA is cheaper in both, and also the one with greater advantage is fixed. There’s no natural “ZZZ better at one, CCA better at the other” pairing.
Against BBA ✅
Fixed: ZZZ 10% vs BBA 12% → ZZZ cheaper in fixed by 2%
Floating: ZZZ rf+1 vs BBA rf+0.25 → BBA cheaper in floating by 0.75%
So ZZZ has an advantage in fixed, BBA has an advantage in floating.
ZZZ wants floating, so it can:
Borrow fixed at 10% (where it is strong),
Enter a swap with BBA (who wants fixed but is strong in floating),
End up with an effective floating rate below rf+1.
Against AAB
Fixed: ZZZ 10% vs AAB 9.5% → AAB cheaper by 0.5%
Floating: ZZZ rf+1 vs AAB rf+0.75 → AAB cheaper by 0.25%
AAB is cheaper in both; no obvious mutual gain.
So the classical swap pairing is ZZZ with BBA → Option C.
