ed rate, 3-month, RM 20 million loan 90 days from today. You had priced the loan at 12% annual interest rate. The following quotes are available in the market. 3-month KLIBOR = 9 % 3-month KLIBOR futures = 90.0 (matures in 90 days) How would you protect yourself from a decrease in interest rates?
ed rate, 3-month, RM 20 million loan 90 days from today. You had priced the loan at 12% annual interest rate. The following quotes are available in the market. 3-month KLIBOR = 9 % 3-month KLIBOR futures = 90.0 (matures in 90 days) How would you protect yourself from a decrease in interest rates?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
As a Credit Officer bank, you have agreed to provide a customer with a
fixed rate, 3-month, RM 20 million loan 90 days from today. You had priced
the loan at 12% annual interest rate. The following quotes are available in
the market.
3-month KLIBOR = 9 %
3-month KLIBOR futures = 90.0 (matures in 90 days)
How would you protect yourself from a decrease in interest rates?
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