Question 4 (1 point)

Consider a plain vanilla interest-rate swap with an effective date of January 1 of year 1, notional amount of $100 million and quarterly payments. The reference rate is 3-month LIBOR. On January 1, the 3-month LIBOR is 3.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 of year 1 are quoted as 96.0 and 95.8. Find the floating payment in the second quarter.

A: $986,301

B: $997,360

C: $1,000,000

D: $1,011,111