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?