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Company A borrows $100,000 from Company B on June 1, 1998. Company A will pay annual interest to Company B on June 1, 1999 and

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Company A borrows $100,000 from Company B on June 1, 1998. Company A will pay annual interest to Company B on June 1, 1999 and June 1, 2000 at a variable interest rate. Company A enters an interest rate swap with Company C on June 1, 1998, under which it will pay Company C interest at a level swap rate, and Company C will pay Company A interest at the variable interest rate. The spot rates on June 1, 1993 are 5 % for a one-year term and 5 .75% for a two-year term. The spot rates are the same on June 1, 1999. What is the market value of the swap contract for Company A on June 1, 2000, just after the interest payments due on that date have been made

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