A corporate treasurer needs to hedge the risk of the interest rate on a future transaction. The risk is associated with the rate on 180-day LIBOR in 60 days. The term structure of LIBOR is given as follows (assume a 30/360 day count convention). Assume that LIBOR is the appropriate discount rate for FRA cash flows at settlement.

30-day LIBOR	5.25%
60-day LIBOR	5.40%
180-day LIBOR	5.60%
210-day LIBOR	5.70%
240-day LIBOR	5.75%

1. Determine the rate that the company would get on an FRA expiring in 60 days on 180-day LIBOR.

2. Suppose that manager went long this FRA. Now, 30 days later, interest rates have moved significantly upward to the following:

30-day LIBOR	5.40%
60-day LIBOR	5.55%
180-day LIBOR	5.75%
210-day LIBOR	5.85%
240-day LIBOR	5.90%

The treasurer would like to know where the company stands on this FRA transaction. Determine the market value of the FRA for a $50 million notional principal.

3. On the expiration day, 180-day LIBOR is 5.7 percent. Determine the payment made to or by the company to settle the FRA contract.