Assume that at t=0,

S₄ =3.15%, S₅ =3.2%, S₁₁ =3.38%, S₁₂ =3.4%

Borrower and Lender sign an FRA (f_5,12) with notional value of $1,000,000

At t=3, you have the following information:

S₂ =3.3%, S₃ =3.335%, S₄ =3.342%, S₈ =3.4%, S₉ =3.6%, S₁₀ =3.71%, S₁₂ =3.74%

Price the FRA at t=3 and indicate which party is the winner