Intel has entered into an interest rate swap with ABC under which, it receives 5% per annum and pays six-month LIBOR on a principal of 50 million for seven years to ABC. The swap payments are made every six months. Supposed that ABC defaults on the 8 payment date, that is the end if year 4 when the LIBOR/swap interest rate (with semiannual compounding) is 4.5% per annum for all maturities. What is the loss to Intel as seen at the end of year 4 (in millions)? Assume that six-month LIBOR was 4% per annum halfway through year 4

Intel has entered into an interest rate swap with ABC under which, it receives 5% per annum and pays six-month LIBOR on a principal of 50 million for seven years to ABC. The swap payments are made every six months. Suppose that ABC defaults on the eighth payment date, that is the end of year 4 when the LIBOR/swap interest rate (with semiannual compounding) is 4.5% per annum for all maturities. What is the loss to Intel as seen at the end of year 4 (in millions)? Assume that six-month LIBOR was 4% per annum halfway through year 4. Select one: O a. 0.944 O b. 0.950 C. 0.956 O d. 0.937