ACI Dealing Certificate (#134)

You sold a JPY 500,000,000 1x12 FRA at 0.35%. The settlement rate is 11-month (334-day) JPY LIBOR, which is fixed at 0.4450%. What is the settlement amount at maturity?

You pay JPY 440,694
You receive JPY 440,694
You pay JPY 438,882
You receive JPY 438,882