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in 30d in 60d in 90d in 120d in 150d 30-day LIBOR 3.90% 4.00% 4.20% 4.40% 4.50% 60-day LIBOR 4.10% 4.40% 4.50% 4.70% 4.80% 90-day
in 30d | in 60d | in 90d | in 120d | in 150d | |
30-day LIBOR | 3.90% | 4.00% | 4.20% | 4.40% | 4.50% |
60-day LIBOR | 4.10% | 4.40% | 4.50% | 4.70% | 4.80% |
90-day LIBOR | 4.20% | 4.70% | 4.80% | 4.90% | 5.20% |
120-day LIBOR | 4.50% | 5.00% | 5.20% | 5.30% | 5.50% |
150-day LIBOR | 4.80% | 5.30% | 5.40% | 5.60% | 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:
A. -$100,000
B. -$85,000
C. -$62,000
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