The interest savings at the end of the loan term must be discounted back to the present value on the FRA settlement date:

Settlement payment = Present value of interest savings
Settlement payment = 23,750 / (1 + (0.040 × 90/360))
Settlement payment = 23,750 / (1 + 0.010)
Settlement payment = 23,750 / 1.010
Settlement payment = 23,515

The settlement check would be for 23,515. DuPont’s statement is incorrect. Lamarre’s statement is also incorrect because the settlement check represents the value of the below-market loan. The actual loan will be at the prevailing rate, and the settlement on the FRA will offset the interest cost on the loan.