ACI
3I0-012 · Question #31
3I0-012 Question #31: Real Exam Question with Answer & Explanation
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Question
You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90-day) BBA LIBOR, which is fixed at 0.9500%. What is the settlement amount at maturity?
Options
- AYou pay CAD 20,000.00
- BYou receive CAD 20,000.00
- CYou pay CAD 19,952.61
- DYou receive CAD 19,952.61
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