1141

A bank has an interest rate swap which involves receiving 4% per year with semi-annual compounding and paying LIBOR every 6 months on $100 million. The swap has 9 months remaining. The LIBOR rate 3 months ago was 3.9% per year with semi-annual compounding. The forward LIBOR rate for the 3-9 month period is 4.429%. The continuously compounded zero rates for maturities of 3 and 9 months are 3.8% and 4.2%, respectively. What is the value of the swap to the bank?

-$0.2574 million

-$0.1645 million

-$0.1583 million

$0.1583 million

$0.1645 million