ACI
3I0-012 · Question #106
You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is…
The correct answer is C. Pay 2,500.00, receive 12,500.00, receive 17,500.00, receive 20,000.00. See the full explanation below for the reasoning.
Question
You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10,000,000.00 interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 4.95%. You expect 6-month LIBOR in 6 months to fix at 5.25%, in 12 months at 5.35% and in 18 months at 5.40%. What do you expect the net settlement amounts to be over the next 2 years? Assume 30-day months.
Options
- APay 250.00, receive 1,250.00, receive 1,750.00, receive 2,000.00
- BReceive 250.00, pay 1,250.00, pay 1,750.00, pay 2,000.00
- CPay 2,500.00, receive 12,500.00, receive 17,500.00, receive 20,000.00
- DReceive 2,500.00, pay 12,500.00, pay 17,500.00, pay 20,000.00
How the community answered
(36 responses)- A3% (1)
- B17% (6)
- C72% (26)
- D8% (3)
Community Discussion
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