Today, a bank received a $5,000,000 6-month deposit and made a 3-month loan for the same amount. The bank hedged with an FRA. The agreement rate is 6%. Three months from today the settlement rate is 5%. There are 90 days between when the loan is repriced and when the deposit is repriced.

a. The bank receives $12,345.68 3 months from today

b. The bank pays $12,345.68 3 months from today

c. The bank pays $12,500.00 6 months from today

d. The bank receives $12,500.00 6 months from today