Required:

A bank sells a "three against six" $$3,000,000$ FRA for a three$-$month period beginning three months from today and ending six months from today. The purpose of the FRA is to cover the interest rate risk caused by the maturity mismatch from having made a three$-$month Eurodollar loan and having accepted a six$-$month Eurodollar deposit. The agreement rate with the buyer is $5\mathrm{.}50$ percent. There are actually $92$ days in the three$-$month FRA period. Assume that three months from today the settlement rate is $6\mathrm{.}125$ percent. Determine how much the FRA is worth and who pays who$-$the buyer pays the seller, or the seller pays the buyer.

Note: Round your intermediate calculations to $6$ decimal places. Round your answer to $2$ decimal places. Assume $360$ days in a year.

Answer is complete but not entirely correct.

Seller pays buyer

the absolute value of the

FRA