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2 2.43 pots A bank sells a three against six $3,000,000 FRA for a three month period beginning three months from today and ending six
2 2.43 pots A bank sells a "three against six" $3,000,000 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 is 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 565 percent. There are actually 92 days in the three month FRA period. Assume that three months from today the settlement rate is 4.950 percent. Determine how much the FRAIS worth and who pays who the buyer pays the seller or the seller pays the buyer. (Do not round Intermediate calculations. Round your answer to 2 decimal places.) BOOK the absolute value of the FRA eences
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