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You are a bank, and your customer asks you to quote an agreed-upon rate for a 3x6 FRA. You observe the following rates: Maturity Rate

You are a bank, and your customer asks you to quote an agreed-upon rate for a 3x6 FRA. You observe the following rates:

Maturity Rate

3-month 3%

6-month 4%

9-month 5%

12-month 6%

What rate should you quote?

A. 3.92

B. 5.94%

C. 2.99%

D. 4.96%

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