A $100 Notional 6×12 FRA Has the Following Features at Inception

Multiple Choice

A $100 notional 6×12 FRA has the following features at inception. The first six month period is 182 days and the second is 183 days. The locked-in rate on the FRA is 6%. After one month the 5×11 FRA is trading at a fair strike of 6.2% with 151 days in the first five month period. What is the value of the FRA to the buyer if the five-month Libor rate at this point is is 5%?

A) (+0.0965)
B) (?0.0965)
C) $+ 0.0986$
D) ( -0.0986)