2. Suppose that a bank pays 6-month LIBOR and receives 4% fixed rate on a notiona principal of $5 million. The remaining maturity of the swap is 10 months. Payments are made every six months. The 6-month LIBOR rate on the last payment date was 6%. LIBOR rates today are as follows: 2-month LIBOR = 6.2% 4-month LIBOR=6.8% 6-month LIBOR = 7.3% 8-month LIBOR = 7.7% 10-month LIBOR = 8.1% 12-month LIBOR = 8.5% Find the value of the swap contract for the bank. Gain or loss? (10 pts) 2. Suppose that a bank pays 6-month LIBOR and receives 4% fixed rate on a notiona principal of $5 million. The remaining maturity of the swap is 10 months. Payments are made every six months. The 6-month LIBOR rate on the last payment date was 6%. LIBOR rates today are as follows: 2-month LIBOR = 6.2% 4-month LIBOR=6.8% 6-month LIBOR = 7.3% 8-month LIBOR = 7.7% 10-month LIBOR = 8.1% 12-month LIBOR = 8.5% Find the value of the swap contract for the bank. Gain or loss? (10 pts)