ACI
3I0-012 · Question #246
3I0-012 Question #246: Real Exam Question with Answer & Explanation
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Question
You are paying 1,00% 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 0.95%. How would you hedge the swap using FRAs? How to hedge an IRS with a strip of FRAs?
Options
- Abuy a strip of 0x6, 6x12, 12x18 and 18x24 FRAs
- Bsell a strip of 0x6, 6x12, 12x18 and 18x24 FRAs
- Cbuy a strip of 6x12, 12x18 and 18x24 FRAs
- Dsell a strip of 6x12, 12x18 and 18x24 FRAs
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