Interest Swap

ABC bank has agreed to receive 3-month LIBOR and pay 8% per annum on a notional principal of $100 million. The swap has a remaining life of 11 months. The LIBOR spot rates for 2-month, 5-month, 8-month, and 11-month, are 6.5%, 7%, 7.5%, and 8%, respectively. The 3-month LIBOR rate at the last payment date was 6%. Estimate the value of the swap to ABC Bank by estimating the values of the floating leg and the fixed leg. Use the 30/360 day count method.

A. The present value of the fixed leg?

B. The present value of the floating leg?

C. The value of the swap to ABC bank?