Term (days) Rate
30 5.70
60 5.55
90 6.05
120 6.10
150 6.15
180 6.22
270 6.33
360 6.35
Suppose you are long a 180-day LIBOR-based FRA with notional amount of $50 million. At expiration, LIBOR is 4% and the forward rate is 3%.
A. Mark the following on days on a timeline: initiation of the FRA, Maturity of the FRA, and maturity of the underlying loan.
B. What is the dollar profit or loss of this FRA.