Under the terms of an interest rate swap, a financial institution has agreed to pay 10% per annum and to receive 3-month LIBOR in retum on a notional principal of $100 million with payments being exchanged every 3 months. The swap has a remaining life of 14 months. The average of the bid and offer fixed rates currently being swapped for 3-month LIBOR 12% per annum for all maturities. The 3-month LIBOR rate month ago was 11.8% per annum. All rates are compounded quarterly. What is the value of the swap? 1.22, Suppose that the term structure of interest rates is flat in the United States and Australia The USD interest rate is 1% per annum and the AUD rate is 9% per annum. The current value of the AUD is 06 USD. Under the terms of a swap agreement, a financial institution pays 8% per annum in AUD and receives 4% per annum in USD. The principal in the two currencies are $13 million USD and 20 milion AUD Payments are exchanged every year, with one exchange having just taken place. The swap will last 2 more year. What is the value of the swap to the financial institution? Amume all interest rates are continuously compounded.