An FI has entered a $100 million swap agreement with a counterparty. The fixed-payment portion of the swap is similar to a government bond with a maturity of 6 years and a duration of 5 years. The swap payment interval is 1 year. If the relative shock to interest rates [R/(1 + R)] is a decline of 20 basis points, what will be the change in the market value of the swap contract?

a.

-$0.45 million

b.

+1.60 million

c.

+2.55 million

d.

-$0.80 million

e.

-$2.55 million