You are a portfolio manager at a large international bank with interest rate risks to manage. You make loans continual basis. Your specific task is to reduce mismatch risk within your portfolio. When you logged into yo that overnight in the Euro$ market your overseas coworkers have done the following: Received a 9 month deposit in Euro$ amount of $50,000,000 Made a loan of 12 months also in Euro$ amount of $50,000,000 Your concern is that in 9 months time, you will have an exposure to the interest rate market. Which one of th you use, and what is the end expected Euro$ proceeds (not today's PV) given the market rates below. For ca each monthly period is an even 30 days and one year is therefore 360 days. Todays 12 month Euro$ Rate is 4.80% FRA Rate for a 3 month deposit in 9 months time 5.10% The actual 3 month rate in 9 months turns out to be 4.70% O You buy a Euro$ FRA in "3 against 12" and at the end of the 9 month period you contract is worth - $50,000 O You buy a Euro$ FRA in "3 against 12" and at the en