Saudi Electricity Company (SEC) 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% per annum and receive the three-month 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	2.75%
.5	2.9%
.75	3.1%
1	3.4%
1.25	3.6%

The three-month SAIBOR rate three months ago, when the last swap payment was made, was 1.8% per

annum. OIS rates are the zero rates you obtained in question 1. The swap rate and all SAIBOR rates are compounded quarterly. What is the value of the swap?