单选题 Consider a forward rate agreement (FRA) that expires in 90 days. The agreement is based on the 180-day LIBOR. The long position agrees to borrow $ 10000000 from the short position (i. e. the dealer). The dealer quotes this instrument at 6 percent. Today, the 90-day LIBOR is 5.5 percent. If the 180-day LIBOR in 90 days is quoted at 5 percent, compute the amount of the cash settlement payment made or received by the borrower at expiration. The borrower will:

A、

A. make a payment of $ 48780.
B、

B. make a payment of $ 48543.
C、

C. receive a payment of $ 48543.

【正确答案】 A

【答案解析】At expiration, from the borrower's perspective, the payment will be calculated as: $10000000×(0.05-0.06)(180/360)/(1+0.05×180/360)=-$50000/1.025=-$ 48780 Because the amount is negative, it reflects a cash outflow, or a payment made, by the borrower.