Reference rate is 6-month Treasury bill (182 days to maturity). The FRA settles in 270 days. The contract rate is 0.12%. The notional amount is $100 million. At settlement, the yield on 6-month Treasury bills is .15%. What is the amount of compensation that must be paid under the agreement at settlement? (You have to use enough precision to get the cents right in the answer.) Use a 360 day year in your calculations.

Reference rate is 6-month Treasury bill (182 days to maturity). The FRA settles in 270 days. The contract rate is 0.12%. The notional amount is $100 million. At settlement, the yield on 6-month Treasury bills is .15%. What is the amount of compensation that must be paid under the agreement at settlement? (You have to use enough precision to get the cents right in the answer.) Use a 360 day year in your calculations.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter2: The Domestic And International Financial Marketplace

Section: Chapter Questions

Problem 4P

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