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I need help with questions 1-3: 1. in 60d in 90d in 30d in 1200 in 150d 30-day LIBOR 3.90% 4.0096 4.2096 4.4096 60-day LIBOR
I need help with questions 1-3:
1. in 60d in 90d in 30d in 1200 in 150d 30-day LIBOR 3.90% 4.0096 4.2096 4.4096 60-day LIBOR 4.1096 4.4096 4.50% 4.70% 90-day LIBOR 4.2096 4.7096 4.80% 4.90% 120-day LIBOR 4.50% 5.0096 5.20% 5.30% 150-day LIBOR 4.80% 5.30% 5.40% 5.60% 4.50% 4.80% 5.20% 5.50% 5.90% Our firm has just entered a 2x5 FRA at 3.8% with a notional amount of $28.5 million. Based on the expectations of future LIBOR rates shown above, the best estimate of the value of our FRA 30 days from now is: CA.-$85,000 B. -$100,000 CC.-$62,000 2. Our firm wants to hedge against a rise in interest rates. We will need to borrow for 90 days, 60 days from now. Which FRA would best hedge this risk? CA.25 B.6x9 C.2x3 3. 2.6096 2.8096 3.00% 30-day LIBOR 60-day LIBOR 90-day LIBOR 120-day LIBOR 150-day LIBOR 3.20% 3.30% Based on these current LIBOR rates, what value is closest to the price of the FRA that will bedge the risk on that 90 day loan, 60 days from today? CA. 3.296 CB.3.0% C.3.6% 1. in 60d in 90d in 30d in 1200 in 150d 30-day LIBOR 3.90% 4.0096 4.2096 4.4096 60-day LIBOR 4.1096 4.4096 4.50% 4.70% 90-day LIBOR 4.2096 4.7096 4.80% 4.90% 120-day LIBOR 4.50% 5.0096 5.20% 5.30% 150-day LIBOR 4.80% 5.30% 5.40% 5.60% 4.50% 4.80% 5.20% 5.50% 5.90% Our firm has just entered a 2x5 FRA at 3.8% with a notional amount of $28.5 million. Based on the expectations of future LIBOR rates shown above, the best estimate of the value of our FRA 30 days from now is: CA.-$85,000 B. -$100,000 CC.-$62,000 2. Our firm wants to hedge against a rise in interest rates. We will need to borrow for 90 days, 60 days from now. Which FRA would best hedge this risk? CA.25 B.6x9 C.2x3 3. 2.6096 2.8096 3.00% 30-day LIBOR 60-day LIBOR 90-day LIBOR 120-day LIBOR 150-day LIBOR 3.20% 3.30% Based on these current LIBOR rates, what value is closest to the price of the FRA that will bedge the risk on that 90 day loan, 60 days from today? CA. 3.296 CB.3.0% C.3.6% Step by Step Solution
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