You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334-day) JPY LIBOR, which is fixed at 0.4450%. What is the settlement amount at maturity?

Question

Quizplus · Accepted Answer

The settlement amount at maturity can be calculated as follows:
JPY 500,000,000 x (0.4450% - 0.35%) x (334/365) = JPY 438,882
Since you sold the FRA, you will be paying the settlement amount at maturity, therefore the correct choice is C) You pay JPY 438,882.

You Sold a JPY 500,000,000 1x12 FRA at 0