Suppose that Wartmart needs to borrow AUD20 million in three months for a six-month period. To lockin

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Suppose that Wartmart needs to borrow AUD20 million in three months for a six-month period. To lockin the rate on this loan, Unilever buys a "3 x 6" FRA on LIBOR at 17% p.a. from ANZ for a notional principal of AUD20 million. "3 x 6" means that ANZ has entered into a three-month forward contract on six-month LIBOR.

Assume that in three months LIBOR6 is 20% p.a.. How much will Wartmart receive from ANZ from this FRA contract? Assume that each month is 30 days.

Posted Date: May 17, 2024 11:06 AM

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Suppose that Wartmart needs to borrow AUD20 million in three months for a six-month period. To lockin

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