A bank is considering using a "three against six" $2,000,000 FRA to cover its potential loss. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a six-month Eurodollar loan and having accepted a three-month Eurodollar deposit. The agreement rate with the buyer is 4.6%. There are actually 92 days in the three-month FRA period. Which one of following statements is correct? Select one: a. To hedge the risk caused by maturity mismatch, the bank could take the buyer's position if it uses the Euro-Dollar Interest Rate Futures instead. O b. If the settlement rate is 4.8% three months from today, then the FRA is worth $1009.84 C. To hedge the loss caused by maturity mismatch, the bank should be a seller of the FRA. d. If the settlement rate is 4.8% three months from today, then the buyer pays the seller. e. Without the FRA, the bank will lose if the market interest rate drops at the end of three months