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Megabank enters into a pay-fixed, receive-floating unsecured Interest Rate Swap with one of its clients, Nohope Ltd. The IRS has a face value of $100m,

Megabank enters into a pay-fixed, receive-floating unsecured Interest Rate Swap with one of its clients, Nohope Ltd. The IRS has a face value of $100m, and a term of 5 years, with quarterly payments. After 5 quarterly payments have been made, interest rates have increased dramatically and the swap has a mark-to-market value of $20m in favour of Megabank. Sadly, Nohope Ltd then goes into receivership, the swap is closed out, and unsecured creditors receive 15c in the dollar in a corporate reconstruction. What payment does Megabank receive from the corporate reconstruction of Nohope Ltd?

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