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

question 25

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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Definitions:

Individualism

The principle of being independent and self-reliant, often prioritizing personal goals over group objectives.

Independence

The state or quality of being self-reliant and not dependent on others for decision-making or support.

Imposter Phenomenon

The experience of feeling like a phony, a fraud, or a fake.

Unbiased Processing

The ability to see the good and the bad in the world and make decisions based on this information; part of authenticity.