ACI
3I0-012 · Question #107
You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334-day) JPY LIBOR, which is fixed at 0.4450%. What is the settlement amount at maturity?
The correct answer is C. You pay JPY 438,882. See the full explanation below for the reasoning.
Question
You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334-day) JPY LIBOR, which is fixed at 0.4450%. What is the settlement amount at maturity?
Options
- AYou pay JPY 440,694
- BYou receive JPY 440,694
- CYou pay JPY 438,882
- DYou receive JPY 438,882
How the community answered
(47 responses)- A2% (1)
- B13% (6)
- C77% (36)
- D9% (4)
Community Discussion
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