hedge funds & FRA

the least appropriete limitation of value at risk is that a. VaR does not provide left tail risk value b. hedge fund often use delivatives c. VaR provides no information on the magnitude of loss beyond the minimum loss After 30 days Adam wants to value a $10m short position in the 2x5 FRA. The 90 day forward rate in 30 days is now 4.41% and original price of the FRAwas 4.3%. 120 day Libour has changed to 3.93%. the current valu of $10 m FRA to the short position is a. $15,794 b. $3,948 c. -$15,794

A B is the answer to the second one, but the 90 day forward rate is 4.14%… i was trying to answer this and the answer wasnt there…i remembered seeing this on the practice exam though…

Long Position: (.0414-0.043)/4 * 10000000 / (1+0.0393*120/360) = -3948 So Short Position: +3948 B

A, & B are correct