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ACI Dealing Certificate 3I0-012 Question # 377 Topic 16 Discussion

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ACI Dealing Certificate 3I0-012 Question # 377 Topic 16 Discussion

3I0-012 Exam Topic 16 Question 377 Discussion:
Question #: 377
Topic #: 16

You are paying 5% per annum paid semi-annually and receiving 6-month LIBOR on a USD 10 million interest rate swap with exactly two years to maturity. 6-month LIBOR for the next payment date is fixed today at 4.95%. How would you hedge the swap using FRAs? How to hedge an IRS with a strip of FRAs?
A.

buy a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

B.

sell a strip of 0x6, 6x12, 12x18 and 18x24 FRAs

C.

buy a strip of 6x12, 12x10 and 16x24 FRAs

D.

sell a strip of 6x12, 12x18 and 18x24 FRAs

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Actual exam question for ACI 3I0-012 exam by Kairo54556 at Aug 2, 2025, 12:00:00 AM

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