What is the mark to market value of the FRA to AAA corp

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Reference no: EM132788252

Question - In June 2030, AAA entered into a one year length FRA (with CCC) where AAA agreed to invest $1M with CCC on June 2032 and receive $1.1M in June 2033 (K=10%).

Now it is June 2031 and the mid market discrete zero rates are 11% and 12% for one and two year's respectively (i.e to June 2032 and 2033).

REQUIRED - What is the mark to market value of the FRA to AAA corp (to the nearest dollar, 0 decimal places, use - if a liability)?

Reference no: EM132788252

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