8 10 points A bank sells a three against six $3,000,000 FRA for a three-month period...

Transcribed Image Text:

8 10 points A bank sells a "three against six" $3,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is t cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodollar deposit. The agreement rate with the buyer is 5.50 percent. There are actually 92 days in the three-month FRA period. Assume that three months from today the settlement rate is 4.875 percent. Determine how much the FRA is worth. Do not round intermediate calculations. Type your answer.... 9 10 points A "three against nine" FRA has an agreement rate of 4.75 percent. You believe six-month SOFR in three months will be 5.125 percent. You decide to take a speculative position a FRA with a $1,000,000 notional value. There are 183 days in the FRA period. If you buy the FRA, what will your expected profit be if your forecast is correct about the six month SOFR rate. Do not round intermediate calculations. Type your answer... 8 10 points A bank sells a "three against six" $3,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The purpose of the FRA is t cover the interest rate risk caused by the maturity mismatch from having made a three-month Eurodollar loan and having accepted a six-month Eurodollar deposit. The agreement rate with the buyer is 5.50 percent. There are actually 92 days in the three-month FRA period. Assume that three months from today the settlement rate is 4.875 percent. Determine how much the FRA is worth. Do not round intermediate calculations. Type your answer.... 9 10 points A "three against nine" FRA has an agreement rate of 4.75 percent. You believe six-month SOFR in three months will be 5.125 percent. You decide to take a speculative position a FRA with a $1,000,000 notional value. There are 183 days in the FRA period. If you buy the FRA, what will your expected profit be if your forecast is correct about the six month SOFR rate. Do not round intermediate calculations. Type your answer...