The Eurodollar Futures Contract (for 3-month LIBOR) for settlement on these dates is currently trading at these values:

3/1/23 98.40

6/1/23 98.20

9/1/23 98.10

12/1/23 97.95

3/1/24 97.85

6/1/24 97.75

9/1/24 97.60

12/1/24 96.30

Today is Dec. 1, 2022 and 3-month LIBOR is quoted at 1.50%. You want to engage in a 2-year swap of fixed-rate payments for floating rate payments where the floating rate payments are based on 3-month LIBOR. You are the fixed-rate receiver. The notional principal is $10 million. Please show your work in Excel and round your answers to the nearest dollar.

a. How much money are you scheduled to pay on March 1, 2023 (gross, not net of what you will receive)? ______________________

b. What is the present value of your eight expected payments (total PV of all eight)? _____________________

c. What is the swap rate which will cause the present value of the fixed rate payments to be equal to the present value of the expected variable rate payments? Please express this as a percentage and carry out four decimal places (i.e. 1.2345%). _____________________

After one year (on 12/1/23), the current LIBOR rate is 1.0% and the Eurodollar Futures Contract prices look like this:

3/1/24 98.85

6/1/24 98.50

9/1/24 98.30

12/1/24 98.00

d. What is the current value (as of 12/1/23) of this swap from your perspective?