Question
XYZ is a BBB rated company with a credit spread of 1.50%. It expects interest rate will increase in future. Today, it wants to lock
XYZ is a BBB rated company with a credit spread of 1.50%. It expects interest rate will increase in future. Today, it wants to lock in the 3-month interest rate between 3/20/2020 and 6/20/2020.
Currently, 3/2020 Eurodollar futures price is 97.54 and 6/2020 Eurodollar futures price is 97.55.
At which rate, can XYZ lock in to borrow in 3/2020?
Round your answer to the nearest 2 decimal percentage points. For example, if your answer is 12.345%, enter "12.35"
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An Introduction To Socio-Finance
Authors: Jørgen Vitting Andersen, Andrzej Nowak
2013th Edition
3642419437, 978-3642419430
