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
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