Question 5. [16 STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-mou. SAIBOR in return on a notional principal of SAR 100 million with payments being exchanged every three months. The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different maturities: Maturity SAIBOR Rates 0.25 3.25% 3.4% 0.75 3.55% 3.7% 0.5 1 1.25 3.8% The three-month SAIBOR rate three months ago, when the last swap payment was made, was 4.02% per annum. OIS rates are the zero rates you obtained in question 1. All SAIBOR rates are compounded quarterly. What is the value of the swap? I Question 5. [16 STC arranged a syndicated loan 1 years ago. To hedge its interest rate risk, it entered into an interest rate swap with SABB, where it has agreed to pay 3.5% per annum and receive the three-mou. SAIBOR in return on a notional principal of SAR 100 million with payments being exchanged every three months. The swap has a remaining life of 15 months. You observe the following SAIBOR rates for different maturities: Maturity SAIBOR Rates 0.25 3.25% 3.4% 0.75 3.55% 3.7% 0.5 1 1.25 3.8% The three-month SAIBOR rate three months ago, when the last swap payment was made, was 4.02% per annum. OIS rates are the zero rates you obtained in question 1. All SAIBOR rates are compounded quarterly. What is the value of the swap