ACI
3I0-012 · Question #106
3I0-012 Question #106: Real Exam Question with Answer & Explanation
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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
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