Determine how much the fra is worth

Reference no: EM13270624

A bank made a six-month Eurodollar loan and accepted a three-month Eurodollar deposit. The bank considers a "three against six" $5,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The agreement rate is 6 percent. There are actually 92 days in the three-month FRA period. Assume that the settlement rate is 5 percent. Determine how much the FRA is worth and who pays who- the buyer pays the seller or the seller pays the buyer. Should the bank buy or sell the FRA?

Reference no: EM13270624

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