Today is 24^th March, you notice the following spot market quotations.

3-month KLIBOR = 6.75%

6-month KLIBOR = 8%

The 3-month KLIBOR futures is priced at 93.00 (maturing 24^th June).

a) Is there any mispricing?

(5 marks)

b) How would you arbitrage (should you find mispricing)?

(5 marks)

c) Assuming the 3-month KLIBOR spot rate on 24^th June is 9%, show the profit you would make per KLIBOR futures contract.