You Enter into a $100 Million Notional Swap to Pay $x$

question 9

Multiple Choice

You enter into a $100 million notional swap to pay six-month Libor and receive $x$ %.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 floating rate was reset to 6% on March 25,what must be the minimum value of $x$ that ensures you will receive a positive net payment on September 25?

• A)5.87%
• B)5.95%
• C)6.00%
• D)6.01%

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