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What is value of this FRA to XYZ

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Question - Suppose that 9-month and 12-month LIBOR are 6% and 8% with continuous compounding. ABC Inc. enters into a FRA with XYZ Inc. to receive the forward market rate and pay 15% measured with quarterly compounding, on a notional principal of $5 million for 3 months beginning after 9 months from now.

1. Which party is the FRA seller and the FRA buyer?

2. What is value of this FRA to XYZ?

Reference no: EM132613013

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