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HELP!! 5. 4 Marks If you are in investor holding a variable rate Floating Rate Note that pays SOFR +85bp quarterly and are worried short
HELP!!
5. 4 Marks If you are in investor holding a variable rate Floating Rate Note that pays SOFR +85bp quarterly and are worried short term rates will be going lower, which of the following will offset the risk? A. Pay fixed in an interest rate swap B. Buy 3 mo SOFR futures C. Receive fixed in an interest rate swap D. Sell 3mo SOFR futures 6. 5 Marks What is the yield-to-maturity (YTM) expressed on a semi-annual frequency equivalent (act/act) for 3-year 6\% annual coupon bond (act/act) priced at 107.20 ? A. 3.43335% B. 3.33043% C. 6.00000% D. 3.40437% 7. 6 Marks Which of the following is the annual Act/360 equivalent of 6% per annum interest rate that has quarterly frequency and Act/365 day-count? Show how you get this answer on page 10. A. 5.874% B. 6.055% C. 6.136% D. 5.918%Step by Step Solution
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