Suppose that three-month (91 days) and six-month (183 days) Libor rates are 5% and 6%, respectively. Which of the following is false with respect to the 3 6 FRA with $10 million notional value?

If after 61 days the one- and four-month Libor rates are 4% and 5%, the value of the long position is $40,000.

If at the end of the 91 days the three-month Libor turns out to be 6%, the long FRA should pay $22,653 to the short FRA.

The value of the FRA can be zero when the contract matures.

The fixed rate of the FRA is 6.9%.