You Enter into a $100 Million Notional Swap to Pay

question 25

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.

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