Problem 17-15 On December 31, 2017, windsor Corp. had a $12,000,000, 8.0% fixed-rate note outstanding, payable in 2 years. It decides to enter into a 2-year swap with Chicago First Bank to convert the fixed-rate debt to variable- rate debt. The terms of the swap indicate that Windsor will receive interest at a fixed rate of 8.0% and will pay a variable rate equal to the 6-month LIBOR rate, based on the $12,000,000 amount. The LIBOR rate orn December 31, 2017, is 7.0%. The LIBOR rate will be reset every 6 months and will be used to determine the variable rate to be paid for the following 6-month period. Windsor Corp. designates the swap as a fair value hedge. Assume that the hedging relationship meets all the conditions necessary for hedge accounting. The 6-month LIBOR rate and the swap and debt fair values are as follows. Date 6-Month LIBOR Rate Swap Fair Value December 31, 2017 June 30, 2018 December 31, 2018 7.0 % 7.5 % 6.0 % Debt Fair Value $12,000,000 11,782,900 12,059,620 (217,100) 59,620