Assume that on Monday September 14, 2020 you sold $100,000,000 notional value of a 3 x 6 FRA referencing USD LIBOR and with a strike rate equal to 0.31000%. (Note that it is ISDA convention to round interest rates to the nearest 0.00001%.)

1. What is the accrual period?
2. Calculate the accrual length as a fraction of a year.
3. On which date would the settlement payment have been made?
4. On which date would the payment amount have been determined?
5. What would the payment amount have been (positive means you received, negative you paid)?
6. If you were to choose to reinvest the payment in a Eurodollar deposit until the end of the accrual period, when would you need to arrange for the deposit and how much interest would you earn?
7. How does this compare with payment from an equivalent 3 x 6 FRA that instead pays in arrears?
8. How much would the settlement payment have been and when would it have occurred, if the FRA had instead referenced SOFR and had a strike rate equal to 0.07000%?