Give typing answer with explanation and conclusion A bank sells a “three against six” $5,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodollar deposit. The agreement rate with the buyer is 5.41 percent. There are actually 92 days in the three-month FRA period. Assume that three months from today the settlement rate is 4.92 percent. Determine how much the FRA is worth. (report postive amount, with cents

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Give typing answer with explanation and conclusion A bank sells a “three against six” $5,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodollar deposit. The agreement rate with the buyer is 5.41 percent. There are actually 92 days in the three-month FRA period. Assume that three months from today the settlement rate is 4.92 percent. Determine how much the FRA is worth. (report postive amount, with cents)
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