Question 28 (4 points) In 90 days, a US company expects to borrow $1,000,000 for a period of 30 days at 30-day Libor set in 90 days. The company is concerned that rates may increase. At time 0, they enter a 3 x 4 FRA, an instrument that expires in 90 days and is based on 30-day Libor. The company will receive floating (long position). The appropriate discount rate for the FRA settlement cash flows (Dh) is 2.20%. After 90 days, 30-day Libor in USD (Lh) is 2.00%. If the FRA is initially priced [FRA(0,h,m)] at 1.90%, the payment received to settle is: $101.25 $83.18 $249.83