Question 6 (1 point) Today is January 1. You are short a quarterly swap with a notional amount of $100 million that will mature in six months (i.e. on June 30). The reference rate is 3-month LIBOR. Today's 3-month LIBOR is 3.5%, and 3-month Eurodollar futures maturing on June 30 and September 30 are quoted as 96.0 and 95.8. The swap rate is 3.7%. What is the value of this swap to you?

A: $24,858

B: -$24,858

C: $65,289

D: -$65,289