A
AcadiFi
DerivativesHard

DeltaWave Corp enters a 3×9 FRA as the fixed-rate payer at 4.50% on $10 million notional. At settlement, the 6-month reference rate is 5.20% (180/360 day count). The settlement payment DeltaWave receives is closest to:

CFA Level I — Derivatives Practice Question | AcadiFi | AcadiFi