KKR wants to borrow USD21 million in 4 months for a six-month period. To lock in the rate on this loan, KKR sells a 46 FRA on LIBOR at 4.50% to Citi for a notional principal of USD21 million. In 4 months time, LIBOR6 is 3.50%. How much will KKR pay to Citi to the nearest whole number?

Question 20Answer

a.

USD103,194

b.

USD202,899

c.

USD69,193

d.

USD102,689

e.

None of the options in this question are correct.