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(FRA)A bank is considering using a three against six $2,000,000 FRA to cover its potential loss. The purpose of the FRA is to cover the

image text in transcribed (FRA)A bank is considering using a "three against six" \$2,000,000 FRA to cover its potential loss. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a six-month Eurodollar loan and having accepted a three-month Eurodollar deposit. The agreement rate with the buyer is 6.126%. There are actually 92 days in the three-month FRA period. If the settlement rate is 4.604% three months from today, then the FRA is worth (Keep two decimal places.)

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