The characteristics of an FRA are as follows: Notional principal $1 million. FRA rate = 3.5% semi-annually compounded. Underlying rate = 6-month zero rate semi-annually compounded. Expiration date = 2.5 years Maturity of the underlying 6-month zero rate = 3 years Payment on the FRA is in arrears on the maturity of the underlying. Consider the following statements: 1. If the 6-month zero rate on the expiration date = 3.75% semi-annually compounded, the buyer of the FRA will receive a net interest payment of $2,500 at the end of year 3. II. If the zero curve is flat at a semi-annually compounded rate of 3.00% per annum, the value of the FRA to the seller is close to $2,286. Which of the following is correct? Select one: a. Statement is correct, Statement Il is incorrect. b. Statement is incorrect, Statement Il is correct. c. Statement is correct, Statement ll is correct. d. Statement is incorrect, Statement ll is incorrect