ACI 3I0-012 Question Answer
You have a USD loan that is priced at 3-month LIBOR+50. LIBOR for the loan will be re-fixed in exactly one month. The market is quoting:
1x3 USD FRA. 1.95-98%
1x4 USD FRA. 2.07-10%
1x6 USD FRA 2.25-28%
To hedge the next LIBOR fixing, you should:
Previous