Question
Questions 13 - 14 Assume that the following info with respect to a 3 6 FRA: Principal or Face Value : $100,000,000 FRA Rate :
Questions 13 - 14
Assume that the following info with respect to a 3 6 FRA:
Principal or Face Value: $100,000,000
FRA Rate: 1.00%
3-month LIBOR on Fixing Date (Reference Rate): 0.50%
Trade Date: Tuesday, April 21, 2020;
Spot Date: Thursday, April 23, 2020;
Fixing Date: Tuesday, July 21, 2020;
Settlement Date: Thursday, July 23, 2020;
3-month LIBOR Loan Maturity Date = Thursday, October 22, 2020
13. What is the settlement value of the 3 6-month FRA cited above?
14. Which counterparty would receive the settlement amount of this 3 6-month FRA, the fixed ratepayer, or the floating rate payer, when the Reference rate has declined by 50 basis points (0.50%) relative to the original FRA rate?
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