Question: A financial manager needs to hedge against a possible decrease in short-term interest rates. He hedges by going short on a 3X6 FRA that expires

A financial manager needs to hedge against a possible decrease in short-term interest rates. He hedges by going short on a 3X6 FRA that expires in 90 days and is based on the 90-day LIBOR. Th following current LIBOR spot rates are observed: 30-day 5.9%, 90-day 6.00%, 180-day 6.10% and 360-day 6.30% (actual/360 day convention applies). The rate the manager will receive on this FRA is closest to:

Question 11 options:

	6.19%
	6.05%
	6.11%
	6.15%

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