it is a 6% floor.
LIBOR at the end of the 2nd year is 5.8%.
Difference between 6% and 5.8% discounted at 5.8% will be the Floor's payoff in the 3rd year. The 5.8% at the end of the 2nd year - is applicable to payoff in the 3rd year.
30 Mill * (0.06 - 0.058) / (1.058) = 56710.77
CP |