Since Vetements Verdun is long the FRA, the market rate of interest at settlement must be higher than the price of the contract and the 23,750 has a positive value. The interest savings at the end of the loan term will be:
Interest savings = ( (market rate × (90/360)) − (0.0362 × (90/360)) ) × 25,000,000
23,750 = ((market rate × 90/360) − 0.00905) × 25,000,000
0.000950 = market rate × 90/360 − 0.00905
0.0100 = market rate × 0.25
0.0400 = market rate
The market rate must have been 4.0%.
