Performance scenarios of a deal based on a 3X6 Forward
Performance scenarios of a deal based on a 3X6 Forward
PERFORMANCE SCENARIOS of a deal based on a 3X6 Forward
Rate Agreement on Libor in USD.
| Parameters | Abbreviation | Value |
| FRA Fixed Rate Payer (%): | P | 6% (fixed leg) |
| Trade size (per Notional): | TS | $1,000,000 |
| Margin %: | M | upon agreement between counterparties |
| BUY/LONG (Paying fixed/receiving floating) | Opening Price | Closing Price (incl. spread) | Price change | Profit / Loss |
| Favourable | 6% | 6.4% | 0.4% | $4000 |
| Moderate | 6% | 6.2% | 0.2% | $2000 |
| Unfavourable | 6% | 5.6% | -0.4% | -$4000 |
| Stress | 6% | 5.3% | -0.7% | -$7000 |
| SELL/SHORT(Paying Floating/Receiving fixed) | Opening Price | Closing price (incl. spread) | Price change | Profit / Loss |
| Favourable | 6% | 5.6% | -0.4% | $4000 |
| Moderate | 6% | 5.8% | -0.2% | $2000 |
| Unfavourable | 6% | 6.4% | 0.4% | -$4000 |
| Stress | 6% | 6.7% | 0.7% | -$7000 |
Profit and loss calculated above are payable/receivable in 6 months from today. However, FRAs are settled once the LIBOR is fixed and known which is 3 months from today. All the Profit and loss amount are then discounted using the discount rate available which usually is the same of the LIBOR above.
Please be informed that the PnL will be always calculated in your trading Account’ currency.
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2022-04-21 • Updated
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