A company wants to hedge against a possible interest rate increase by entering into a forward rate agreement. The following quotes are obtained from a dealer for 30-day FRAs:Dealer Quotes60-Day LIBOR = 0.048090-Day LIBOR = 0.0500180-Day LIBOR = 0.0525The contract covers a notional principal of $50 million. The company hedges its risk of an increase in 60-day LIBOR with an FRA, and 30 days later when the contract expires, the 60-day LIBOR rate is 5%. What does the company collect from, or pay to, the dealer? The company: —

单选题 编号：2692167

1. A company wants to hedge against a possible interest rate increase by entering into a forward rate agreement. The following quotes are obtained from a dealer for 30-day FRAs:
Dealer Quotes
60-Day LIBOR = 0.0480
90-Day LIBOR = 0.0500
180-Day LIBOR = 0.0525
The contract covers a notional principal of $50 million. The company hedges its risk of an increase in 60-day LIBOR with an FRA, and 30 days later when the contract expires, the 60-day LIBOR rate is 5%. What does the company collect from, or pay to, the dealer? The company:

A.Collects $16,529.
B.Pays $29,691.
C.Neither collects nor pays since the rate on 60-day LIBOR at expiration is the same as the rate on 90-day LIBOR initially.

登录后查看答案及解析

选择购买的题库