An investment manager wants to hedge $60,000,000 against a possible adverse change in interest rates. She therefore plans to take a short position on an FRA that expires in 60 days, based on a 150day Euribor. The current term structure for Euribor is as follows:

t	rt
120	6.15%
210	7.35%

a. The FRA that the investment manager has most likely committed to is a?

`4x7`

`4x11`

`7x4`

`4x3`

b. What is the price of an FRA expiring in 120 days based on the 90-day Euribor?

%

Round your answer to two decimals.

Suppose that 58 days into the term of the FRA, 62day Euribor is 6.77% and 152day Euribor is 5.88%. Given a notional principal of $60,000,000 and the short position on the FRA:

c. What is the annualized rate applicable on a 150day loan 20 days from today?

%

Round your answer to two decimals.

d. What is the value of the FRA?

$

Round your answer to the dollar.

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