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Business, 02.03.2020 21:04 Weser17

A bank buys a "three against six" $5,000,000 FRA for a three-month period beginning three months from today and ending six months from today. The reason that the bank bought the FRA was to hedge: the bank accepted a 3-month deposit and made a six-month loan. The agreement rate with the seller is 5%. Assume that three months from today the settlement rate is 5.25%. Who pays who

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A bank buys a "three against six" $5,000,000 FRA for a three-month period beginning three months fro...
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