2) (10 points) Nestle rolls over a $25M loan priced at LIBOR3 on a 3 month basis The company feels that interest rates are rising and that rates will be higher at the next roll over in three months Suppose the current LIBOR3 is 5 4375 and Nestle buys a 3 x 3 FRA on LIBOR at 6 from Credit Suisse A ) In three months, interest rates have risen to 6 25 How much will Nestle receive pay on its FRA PLEASE MAKE SURE YOU INDICATE IF NESTLE WILL RECEIVE OR PAY FULL CREDIT WILL NOT BE GIVEN IF THIS IS NOT INCLUDED B ) After three months, interest rates have fallen to 5 25 How much will Nestle receive pay on its FRA PLEASE MAKE SURE TO INDICATE IF NESTLE WILL RECEIVE OR PAY FULL CREDIT WILL NOT BE GIVEN IF THIS IS NOT INCLUDED

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2) (10 points) Nestle rolls over a $25M loan priced at LIBOR3 on a 3 month basis  The company feels that interest rates are rising and that rates will be higher at the next roll over in three months  Suppose the current LIBOR3 is 5 4375  and Nestle buys a 3 x 3 FRA on LIBOR at 6  from Credit Suisse  A ) In three months, interest rates have risen to 6 25   How much will Nestle receive pay on its FRA  PLEASE MAKE SURE YOU INDICATE IF NESTLE WILL RECEIVE OR PAY  FULL CREDIT WILL NOT BE GIVEN IF THIS IS NOT INCLUDED  B ) After three months, interest rates have fallen to 5 25   How much will Nestle receive pay on its FRA  PLEASE MAKE SURE TO INDICATE IF NESTLE WILL RECEIVE OR PAY  FULL CREDIT WILL NOT BE GIVEN IF THIS IS NOT INCLUDED

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2) (10 points) Nestle rolls over a $25M loan priced at LIBOR3 on a 3 month basis. The company feels that interest rates are rising

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