ACI Dealing Certificate (#93)

You bought a CAD 8,000,000.00 6x9 FRA at 1.95%. The settlement rate is 3-month (90-day) BBA LIBOR, which is fixed at 0.9500%. What is the settlement amount at maturity?

You pay CAD 20,000.00
You receive CAD 20,000.00
You pay CAD 19,952.61
You receive CAD 19,952.61