A corporate treasure wished to hedge a 3-months borrowing commencing in 3 months for a $10 million amount. The current price of a 3*6 FRA is 1.441/1.541%.

What position should the treasurer take on this 3*6 FRA?

What happened 3 months later if the observed 3-month rate is 1.550%?

What happened 3 months later if the observed 3-month rate is 1.430%?

Suppose that 1 month later the need for cash is gone. The current price of a 2*5 FRA is 1.300/1.400%.

What should the treasurer do?

Compute the final PL assuming that the observed rate at maturity is 1.550%?

Compute the final PL assuming that the observed rate of maturity is 1.430%?