Multiple Choice
You enter into a $100 million notional swap to pay six-month Libor and receive 8%.Payment dates are semi-annual on both legs.The last payment date was March 25 and the next payment date is September 25.Floating payments are based on the USD money-market convention,and fixed payments are based on the 30/360 convention.If the net payment you will receive on September 25 is zero,what must have been the Libor reset on march 25?
A) 6%.
B) Higher than 6%.
C) Lower than 6%.
D) Cannot be calculated from the given information.
Correct Answer:
Verified
Correct Answer:
Verified
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