Table 1 below has spot exchange rates and S&P 500 Index qutoed on June 4, and Aug 4, 2008. Table 2 has spot LIBOR rates on EURO (EUR) and US Dollars (USD) for maturities ranging from 1 week to 12 months announced by the British Banker's Association (BBA) on June 4, Aug 4, 2008, and September 4, 2008. Use 30/360 day count method.

A) What should be the 6-mo FRA rates three months from June 4 (3X9 FRA) for Euro? 3X9 FRA on USD?

B) Calculate the market value (in EUR) on Aug 4 of a long position of the EURO FRA in A) above. The notional principal is EUR 10,000,000.

C) What is the market value in USD of the EURO FRA in B) above?

TABLE 1: S&P 500 Index and FX rate
Date	4-Jun-08	4-Aug-08
FX rate - EUR	0.6474	0.6415	EUR/USD
S&P 500	1377.2	1249.01
TABLE 2: LIBOR (British Bankers Assn)
Retrieved from http://www.bba.org.uk/.
Quote Dates	4-Jun-08	4-Aug-08	4-Sep-08
EUR (% per annum)
1w	4.17875	4.39188	4.39875
2w	4.23000	4.41688	4.42063
1m	4.45938	4.48188	4.51250
2m	4.68688	4.75813	4.75688
3m	4.86188	4.96500	4.95625
4m	4.89250	5.01875	5.08563
5m	4.91438	5.10375	5.12500
6m	4.93688	5.15625	5.16375
7m	4.96500	5.18063	5.18875
8m	4.99250	5.20813	5.21500
9m	5.02250	5.24188	5.24250
10m	5.05250	5.27688	5.27125
11m	5.08188	5.32063	5.29750
12m	5.10625	5.35625	5.32750
USD (% per annum)
1w	2.38313	2.41063	2.37875
2w	2.41500	2.44438	2.41750
1m	2.45000	2.46125	2.48688
2m	2.56938	2.66438	2.68438
3m	2.67188	2.79813	2.81500
4m	2.75125	2.89500	2.94625
5m	2.81938	3.00563	3.02375
6m	2.89125	3.09063	3.11313
7m	2.92750	3.11563	3.12063
8m	2.96313	3.13625	3.12563
9m	2.99563	3.15688	3.13375
10m	3.02688	3.18438	3.14688
11m	3.06188	3.21438	3.16375
12m	3.09750	3.24188	3.18125