分子

问题如下：

Based on Exhibit 6 and the three-month US dollar Libor at expiration, the pay­ment amount that the bank will receive to settle the 6 x 9 FRA is closest to:

选项：

A.

$19,945.

B.

$24,925.

C.

$39,781.

解释：

Given a three-month US dollar Libor of 1.10% at expiration, the settlement amount for the bank as the pay-fixed (receive-floating) party is calculated as

Settlement amount pay-fixed (receive floating)

Settlement amount pay-fixed (receive floating)

= $20,000,000[(0.011 - 0.0070)(90/360)]/[1 + 0.011(90/360)]

Settlement amount pay-fixed (receive floating) = $20,000/1.00275 = $19,945.15

Therefore, the bank will receive $19,945 (rounded) as the receive-floating party.