Four years ago a company has exchanged its floating-rate to a synthetic fixed-rate loan by entering into 7-year interest rate swap for which TTM (time-to-maturity) is exactly three years. Now the company would like to withdraw from the contract. What would be a fair exit price and cash flow direction (ie. Who pays whom?) if the notional principal of the swap is $100 million and a fixed interest rate under the terms of a swap agreement is 6.5% p.a. Assume that the latest exchange of interest rate cash flow has just taken place and there are no transaction costs stemming from the termination of the contract. The exchange of interest rate cash flows takes places once a year. The current interest rate quotes are as follows: 12M LIBOR 3% p.a. 2-year coupon-bond yield 4.00% p.a. (TTM is exactly 2 years, the coupon of 5% once a year) 3-year coupon-bond yield 6.00% p.a. (TTM is exactly 3 years, the coupon of 7% once a year) Four years ago a company has exchanged its floating-rate to a synthetic fixed-rate loan by entering into 7-year interest rate swap for which TTM (time-to-maturity) is exactly three years. Now the company would like to withdraw from the contract. What would be a fair exit price and cash flow direction (ie. Who pays whom?) if the notional principal of the swap is $100 million and a fixed interest rate under the terms of a swap agreement is 6.5% p.a. Assume that the latest exchange of interest rate cash flow has just taken place and there are no transaction costs stemming from the termination of the contract. The exchange of interest rate cash flows takes places once a year. The current interest rate quotes are as follows: 12M LIBOR 3% p.a. 2-year coupon-bond yield 4.00% p.a. (TTM is exactly 2 years, the coupon of 5% once a year) 3-year coupon-bond yield 6.00% p.a. (TTM is exactly 3 years, the coupon of 7% once a year)