Loan Borrowing Assignment | Homework For You
June 8th, 2020
Suppose that Woolworth needs to borrow AUD38 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 16% p.a. from ANZ for a notional principal of AUD38 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 19% p.a.. How much will Woolworth receive from ANZ from this FRA contract? Assume that each month is 30 days.Get Finance homework help today