QUESTIONS 91 THROUGH 96 RELATE TO DERIVATIVE INVESTMENTS.

95. A European bank wants to short a 1x3 forward rate agreement on Euribor. A

dealer provides the bank with a quote of 1.75 percent. The bank agrees to enter

the FRA with the dealer. At contract maturity, what Euribor rate would most

likely result in the European bank receiving a payment from the dealer?

A. 60-day Euribor at 1.70%

B. 60-day Euribor at 1.80%

C. 90-day Euribor at 1.65%