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ABC Bank (Seller) Has Made a "Three Against Six" Forward

Question 22

Multiple Choice

ABC Bank (seller) has made a "three against six" Forward Rate Agreement (FRA) , with XYZ Bank (buyer) . The notional amount is $1,000,000, the settlement rate is 7%, the agreement rate is 6% and the actual number of days in the three-month agreement period is 92.
-The payment amount under this FRA is (consider 360 days a year) :


A) $2,510
B) $2,526
C) $25,555
D) $100,000

Correct Answer:

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