A $100,000,000 $3 \times 6$ FRA Has a Fixed Rate of 4

Multiple Choice

A $100,000,000 $3 \times 6$ FRA has a fixed rate of 4%. The first three-month period is for 91 days and the second one for 92 days. The 91-day Libor rate is 3% and the 183-day Libor rate is 3.5%. The value of this contract to the buyer of the FRA is

A) $- \$ 8913$
B) $- \$ 4822$
C) $+ \$ 3289$
D) $+ \$ 5433$