What is the current value of this swap to your company

Reference no: EM13272377

In an existing (not new) interest rate swap, your company receives 3.50% (fixed) per annum and pays 3-month LIBOR in return on a notional principal of $100 million with cash payments being exchanged every 3 months. The swap contract has a remaining life of 14 months so the next cash exchanges will happen in 2 months, 5 months, 8 months, 11 months and 14 months. The last cash exchange happened 1 month ago and the 3-month LIBOR was 3.00% per annum with quarterly compounding. The current LIBOR rates for different maturities are given as follows.

Maturity	LIBOR per annum with continuous compounding
2 months	2.75%
5 months	3.00%
8 months	3.25%
11 months	3.50%
14 months	3.75%

What is the current value of this swap to your company?

Reference no: EM13272377

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