9 A semi-annual pay interest rate swap where the fixed rate is 5% (with semi-annual compounding) has a remaining life of ten months. The six-month LIBOR rate observed two months ago was 4.85% with semi-annual compounding. Today's four and ten month zero rates are 5.3% and 5.8%, respectively, per annum continuously compounded. The swap has a principal value of $1,000,000. a) For this interest rate swap, the party receiving a fixed rate of interest is the swap seller effectively holds a short position in a fixed-rate bond and a long position in a floating-rate bond. and b) The value of the interest rate swap to the buyer is $ Note: Please provide your answer as an integer without commas in the format of xxxxxx (for example, if the answer is $123,456.00, type in 123456; if the answer is -$123,456.00, type in -123456).

A semi-annual pay interest rate swap where the fixed rate is 5% (with semi-annual compounding) has a remaining life of ten months. The six-month LIBOR rate observed two months ago was 4.85% with semi-annual compounding. Today's four and ten month zero rates are 5.3% and 5.8%, respectively, per annum continuously compounded. The swap has a principal value of $1,000,000. a) For this interest rate swap, the party receiving a fixed rate of interest is the and effectively holds in a fixed-rate bond and in a floating-rate bond. b) The value of the interest rate swap to the buyer is $ Note: Please provide your answer as an integer without commas in the format of xxxxxx (for example, if the answer is $123,456.00, type in 123456; if the answer is $123,456.00, type in -123456)