A $100 million interest rate swap has a remaining life of 11 months. Under the terms of the swap, six-month LIBOR is exchanged for 3% per annum (compounded semi-annually). The average of the bid-offer rate being exchanged for six-month LIBOR in swaps of all maturities is currently 2% per annum with continuous compounding. The six-month LIBOR rate was 1.6% per annum five months ago.

You intend to revalue the swap now by valuing the fixed-rate bond underlying the swap and valuing the floating-rate bond underlying the swap. You are asked in this question to hand in all answers in $millions correct to3decimal places. If you do not your answers will be incorrect.

1. The current value of the fixed-rate bond underlying the swap is$Answer
2. million. Give your answer correct to three decimal places.
3. The current value of the floating-rate bond underlying the swap is$Answer
4. million. Give your answer correct to three decimal places.
5. Hence the value of the swap to the party paying floating is$Answer
6. million. Give your answer correct to three decimal places.