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You know you will need to borrow $225 million in 6 months time for 3 months. The Treasurer is concerned that rates may rise, so

You know you will need to borrow $225 million in 6 months time for 3 months. The Treasurer is concerned that rates may rise, so he is buys a zero cost FRA using the term structure implied by the table of LIBOR rates.Suppose in 6 months, all interest rates have risen by 75 basis points. What is the cash flow to you from this FRA?

Maturity (days) LIBOR

9010.13%

1809.42%

270 9.12%

360 8.77%

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