ACI Dealing Certificate (#145)

You have a USD loan that is priced at 3-month LIBOR+50. LIBOR for the loan will be re-fixed in exactly one month. The market is quoting: 1x3 USD FRA. 1.95-98% 1x4 USD FRA. 2.07-10% 1x6 USD FRA 2.25-28% To hedge the next LIBOR fixing, you should:

Sell a 1x3 FRA at 1.95%
Buy a 1x3 FRA at 1.98%
Buy a 1x4 FRA at 2.10%
Sell a 1x4 FRA at 2.10%