ABC Bank negotiates a plain vanilla swap in which it makes fixed-rate payments of 1.5% and receives floating-rate payments, with the floating rate set at LIBOR + 0.6%. The notional principal is $108mln. LIBOR at the end of Year 1 is 1.78%. What is the net payment ABC Bank will receive (+) or make (-) in Year 1, in $ million, to the nearest $0.001mln?

Answer:

Floating Rate = 1.78 + .6 = 2.38

108 * (1.5 - 2.38) * .001

= -0.095

Please confirm if correct