Euro Dollar Futures Prices with Maturities of 3,6,and 9 Months

question 7

Multiple Choice

Euro dollar futures prices with maturities of 3,6,and 9 months are 89.04,88.75,and 88.55,respectively.What is the annualized swap rate on 9-month securities?

• A) 8.55%
• B) 9.68%
• C) 11.34%
• D) 13.24%

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