Problem A semi-annual interest rate swap on a notional principal of A$200 million has a remaining life of nine months. Under the terms of the swap, BATCO pays a fixed rate of 4% p.a. (compounded semi-annually) and receives six-month BBSW. What is the current value of the swap to BATCO if six- month BBSW rate was 2.6% p.a. (compounded semi-annually) three months ago and the current BBSW/swap curve in Australia is as follows: Term (months) % p.a. (c.C.) 3 2.2 6 2.5 9 2.9 12 3.0