Just after the payment was made at the end of the first

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A bank entered into a three-year interest rate swap for a notional amount of USD 250 million, paying a fixed rate of 7.5% and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded spot one-year and two-year LIBOR rates are 8% and 8.5%, respectively. The value of the swap at that time is closest to

A. USD 14 million

B. USD -6 million

C. USD -14 million

D. USD 6 million

Reference no: EM13568740

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