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A Bank has entered in a long 180-day FRA on the 90-day Treasury rate with the...

A Bank has entered in a long 180-day FRA on the 90-day Treasury rate with the agreed upon rate of 2.5 percent. The notional amount is $10.9 million. Calculate the value of the contract 90 days after the start of the FRA if the new forward rate for the same underlying is 2.65 and you know the following spot rates (as of day 90):

90-day: 2.35%

180-day: 2.4%

270-day: 2.55%

360-day: 2.81%

Provide your answer in dollars rounded to two decimals.

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Answer #1

FRA = N*(RR-FR)* DTM/DY 1+(RR*DTM/DY) $10900000*0.0235-0.0265)*90/360 1+0.0235*90/360) ($8.175) 1.005875 FRA= $8.127.00

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