96. A dealer quotes a forward rate agreement (FRA) expiring in 30 days, for which the
underlying is 90-day LIBOR, at 4.5%. An investor shorts the contract and the dealer
goes long for a notional principal of $15 million. At the expiration of the FRA the rate
on 90-day LIBOR is 4.0%. The investor is most likely to:
A. pay the dealer $6,229.
B. pay the dealer $18,564.
C. receive from the dealer $18,564.
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